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<div class="title">CDS.cpp</div> </div>
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<p>This example bootstraps a default-probability curve over a number of CDS and reprices them.</p>
<div class="fragment"><div class="line"><span class="comment">/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */</span></div>
<div class="line"> </div>
<div class="line"><span class="comment">/*</span></div>
<div class="line"><span class="comment"> Copyright (C) 2008 Jose Aparicio</span></div>
<div class="line"><span class="comment"> Copyright (C) 2014 Peter Caspers</span></div>
<div class="line"><span class="comment"></span> </div>
<div class="line"><span class="comment"> This file is part of QuantLib, a free-software/open-source library</span></div>
<div class="line"><span class="comment"> for financial quantitative analysts and developers - http://quantlib.org/</span></div>
<div class="line"><span class="comment"></span> </div>
<div class="line"><span class="comment"> QuantLib is free software: you can redistribute it and/or modify it</span></div>
<div class="line"><span class="comment"> under the terms of the QuantLib license. You should have received a</span></div>
<div class="line"><span class="comment"> copy of the license along with this program; if not, please email</span></div>
<div class="line"><span class="comment"> <quantlib-dev@lists.sf.net>. The license is also available online at</span></div>
<div class="line"><span class="comment"> <http://quantlib.org/license.shtml>.</span></div>
<div class="line"><span class="comment"></span> </div>
<div class="line"><span class="comment"> This program is distributed in the hope that it will be useful, but WITHOUT</span></div>
<div class="line"><span class="comment"> ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS</span></div>
<div class="line"><span class="comment"> FOR A PARTICULAR PURPOSE. See the license for more details.</span></div>
<div class="line"><span class="comment">*/</span></div>
<div class="line"> </div>
<div class="line"><span class="preprocessor">#include <ql/qldefines.hpp></span></div>
<div class="line"><span class="preprocessor">#ifdef BOOST_MSVC</span></div>
<div class="line"><span class="preprocessor"># include <ql/auto_link.hpp></span></div>
<div class="line"><span class="preprocessor">#endif</span></div>
<div class="line"><span class="preprocessor">#include <ql/cashflows/fixedratecoupon.hpp></span></div>
<div class="line"><span class="preprocessor">#include <ql/cashflows/iborcoupon.hpp></span></div>
<div class="line"><span class="preprocessor">#include <ql/instruments/creditdefaultswap.hpp></span></div>
<div class="line"><span class="preprocessor">#include <ql/indexes/ibor/euribor.hpp></span></div>
<div class="line"><span class="preprocessor">#include <ql/pricingengines/credit/midpointcdsengine.hpp></span></div>
<div class="line"><span class="preprocessor">#include <ql/pricingengines/credit/isdacdsengine.hpp></span></div>
<div class="line"><span class="preprocessor">#include <ql/termstructures/credit/piecewisedefaultcurve.hpp></span></div>
<div class="line"><span class="preprocessor">#include <ql/termstructures/credit/defaultprobabilityhelpers.hpp></span></div>
<div class="line"><span class="preprocessor">#include <ql/termstructures/credit/flathazardrate.hpp></span></div>
<div class="line"><span class="preprocessor">#include <ql/termstructures/yield/flatforward.hpp></span></div>
<div class="line"><span class="preprocessor">#include <ql/termstructures/yield/piecewiseyieldcurve.hpp></span></div>
<div class="line"><span class="preprocessor">#include <ql/termstructures/yield/ratehelpers.hpp></span></div>
<div class="line"><span class="preprocessor">#include <ql/math/interpolations/backwardflatinterpolation.hpp></span></div>
<div class="line"><span class="preprocessor">#include <ql/time/calendars/target.hpp></span></div>
<div class="line"><span class="preprocessor">#include <ql/time/calendars/weekendsonly.hpp></span></div>
<div class="line"><span class="preprocessor">#include <ql/time/daycounters/thirty360.hpp></span></div>
<div class="line"><span class="preprocessor">#include <ql/time/daycounters/actual365fixed.hpp></span></div>
<div class="line"><span class="preprocessor">#include <ql/time/daycounters/actual360.hpp></span></div>
<div class="line"><span class="preprocessor">#include <ql/currencies/europe.hpp></span></div>
<div class="line"><span class="preprocessor">#include <ql/quotes/simplequote.hpp></span></div>
<div class="line"> </div>
<div class="line"><span class="preprocessor">#include <iostream></span></div>
<div class="line"><span class="preprocessor">#include <iomanip></span></div>
<div class="line"> </div>
<div class="line"><span class="keyword">using namespace </span>std;</div>
<div class="line"><span class="keyword">using namespace </span><a class="code" href="namespace_quant_lib.html">QuantLib</a>;</div>
<div class="line"> </div>
<div class="line"><span class="preprocessor">#if defined(QL_ENABLE_SESSIONS)</span></div>
<div class="line"><span class="keyword">namespace </span><a class="code" href="namespace_quant_lib.html">QuantLib</a> {</div>
<div class="line"> </div>
<div class="line"> ThreadKey sessionId() { <span class="keywordflow">return</span> 0; }</div>
<div class="line">}</div>
<div class="line"><span class="preprocessor">#endif</span></div>
<div class="line"> </div>
<div class="line"><span class="keywordtype">void</span> example01() {</div>
<div class="line"> </div>
<div class="line"> std::cout << std::endl;</div>
<div class="line"> </div>
<div class="line"><span class="comment"> /*********************</span></div>
<div class="line"><span class="comment"> *** MARKET DATA ***</span></div>
<div class="line"><span class="comment"> *********************/</span></div>
<div class="line"> </div>
<div class="line"> <a name="_a0"></a><a class="code" href="class_quant_lib_1_1_calendar.html" title="calendar class">Calendar</a> calendar = <a name="_a1"></a><a class="code" href="class_quant_lib_1_1_t_a_r_g_e_t.html" title="TARGET calendar">TARGET</a>();</div>
<div class="line"> <a name="_a2"></a><a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a> todaysDate(15, May, 2007);</div>
<div class="line"> <span class="comment">// must be a business day</span></div>
<div class="line"> todaysDate = calendar.<a name="a3"></a><a class="code" href="class_quant_lib_1_1_calendar.html#a712629806d9ef9a39f8144f368c81e4b">adjust</a>(todaysDate);</div>
<div class="line"> </div>
<div class="line"> Settings::instance().evaluationDate() = todaysDate;</div>
<div class="line"> </div>
<div class="line"> <span class="comment">// dummy curve</span></div>
<div class="line"> ext::shared_ptr<Quote> flatRate(<span class="keyword">new</span> <a name="_a4"></a><a class="code" href="class_quant_lib_1_1_simple_quote.html" title="market element returning a stored value">SimpleQuote</a>(0.01));</div>
<div class="line"> <a name="_a5"></a><a class="code" href="class_quant_lib_1_1_handle.html">Handle<YieldTermStructure></a> tsCurve(</div>
<div class="line"> ext::make_shared<FlatForward>(</div>
<div class="line"> todaysDate, <a name="_a6"></a><a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<Quote></a>(flatRate), <a name="_a7"></a><a class="code" href="class_quant_lib_1_1_actual365_fixed.html" title="Actual/365 (Fixed) day count convention.">Actual365Fixed</a>()));</div>
<div class="line"> </div>
<div class="line"> <span class="comment">/*</span></div>
<div class="line"><span class="comment"> In Lehmans Brothers "guide to exotic credit derivatives"</span></div>
<div class="line"><span class="comment"> p. 32 there's a simple case, zero flat curve with a flat CDS</span></div>
<div class="line"><span class="comment"> curve with constant market spreads of 150 bp and RR = 50%</span></div>
<div class="line"><span class="comment"> corresponds to a flat 3% hazard rate. The implied 1-year</span></div>
<div class="line"><span class="comment"> survival probability is 97.04% and the 2-years is 94.18%</span></div>
<div class="line"><span class="comment"> */</span></div>
<div class="line"> </div>
<div class="line"> <span class="comment">// market</span></div>
<div class="line"> <a name="a8"></a><a class="code" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78" title="real number">Real</a> recovery_rate = 0.5;</div>
<div class="line"> <a class="code" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78" title="real number">Real</a> quoted_spreads[] = { 0.0150, 0.0150, 0.0150, 0.0150 };</div>
<div class="line"> vector<Period> tenors;</div>
<div class="line"> tenors.push_back(3 * Months);</div>
<div class="line"> tenors.push_back(6 * Months);</div>
<div class="line"> tenors.push_back(1 * Years);</div>
<div class="line"> tenors.push_back(2 * Years);</div>
<div class="line"> vector<Date> maturities;</div>
<div class="line"> <span class="keywordflow">for</span> (<a class="code" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> i = 0; i < 4; i++) {</div>
<div class="line"> maturities.push_back(</div>
<div class="line"> calendar.<a class="code" href="class_quant_lib_1_1_calendar.html#a712629806d9ef9a39f8144f368c81e4b">adjust</a>(todaysDate + tenors[i], <a name="a9"></a><a class="code" href="group__datetime.html#ggaff46c5ae9385d20709bedade86edd368ab6a37af780aa2b97f8bbdc4d149dae18">Following</a>));</div>
<div class="line"> }</div>
<div class="line"> </div>
<div class="line"> std::vector<ext::shared_ptr<DefaultProbabilityHelper> > instruments;</div>
<div class="line"> <span class="keywordflow">for</span> (<a class="code" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> i = 0; i < 4; i++) {</div>
<div class="line"> instruments.push_back(ext::shared_ptr<DefaultProbabilityHelper>(</div>
<div class="line"> <span class="keyword">new</span> <a name="_a10"></a><a class="code" href="class_quant_lib_1_1_spread_cds_helper.html" title="Spread-quoted CDS hazard rate bootstrap helper.">SpreadCdsHelper</a>(<a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<Quote></a>(ext::shared_ptr<Quote>(</div>
<div class="line"> <span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_simple_quote.html" title="market element returning a stored value">SimpleQuote</a>(quoted_spreads[i]))),</div>
<div class="line"> tenors[i], 0, calendar, <a name="a11"></a><a class="code" href="group__datetime.html#gga6d41db8ba0ea90d22df35889df452adaab4fce358383d1822f7596659e00b07f7" title="every third month">Quarterly</a>, <a class="code" href="group__datetime.html#ggaff46c5ae9385d20709bedade86edd368ab6a37af780aa2b97f8bbdc4d149dae18">Following</a>,</div>
<div class="line"> DateGeneration::TwentiethIMM, <a class="code" href="class_quant_lib_1_1_actual365_fixed.html" title="Actual/365 (Fixed) day count convention.">Actual365Fixed</a>(),</div>
<div class="line"> recovery_rate, tsCurve)));</div>
<div class="line"> </div>
<div class="line"> }</div>
<div class="line"> </div>
<div class="line"> <span class="comment">// Bootstrap hazard rates</span></div>
<div class="line"> ext::shared_ptr<PiecewiseDefaultCurve<HazardRate, BackwardFlat> ></div>
<div class="line"> hazardRateStructure(<span class="keyword">new</span> <a name="_a12"></a><a class="code" href="class_quant_lib_1_1_piecewise_default_curve.html" title="Piecewise default-probability term structure.">PiecewiseDefaultCurve<HazardRate, BackwardFlat></a>(</div>
<div class="line"> todaysDate, instruments, <a class="code" href="class_quant_lib_1_1_actual365_fixed.html" title="Actual/365 (Fixed) day count convention.">Actual365Fixed</a>()));</div>
<div class="line"> vector<pair<Date, Real> > hr_curve_data = hazardRateStructure->nodes();</div>
<div class="line"> </div>
<div class="line"> cout << <span class="stringliteral">"Calibrated hazard rate values: "</span> << endl;</div>
<div class="line"> <span class="keywordflow">for</span> (<a class="code" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> i = 0; i < hr_curve_data.size(); i++) {</div>
<div class="line"> cout << <span class="stringliteral">"hazard rate on "</span> << hr_curve_data[i].first << <span class="stringliteral">" is "</span></div>
<div class="line"> << hr_curve_data[i].second << endl;</div>
<div class="line"> }</div>
<div class="line"> cout << endl;</div>
<div class="line"> </div>
<div class="line"> cout << <span class="stringliteral">"Some survival probability values: "</span> << endl;</div>
<div class="line"> cout << <span class="stringliteral">"1Y survival probability: "</span></div>
<div class="line"> << <a name="a13"></a><a class="code" href="group__manips.html#gae524bfb28ff5254a99ba5a4e778aee29" title="output reals as percentages">io::percent</a>(hazardRateStructure->survivalProbability(todaysDate +</div>
<div class="line"> 1 * Years))</div>
<div class="line"> << endl << <span class="stringliteral">" expected: "</span> << <a class="code" href="group__manips.html#gae524bfb28ff5254a99ba5a4e778aee29" title="output reals as percentages">io::percent</a>(0.9704) << endl;</div>
<div class="line"> cout << <span class="stringliteral">"2Y survival probability: "</span></div>
<div class="line"> << <a class="code" href="group__manips.html#gae524bfb28ff5254a99ba5a4e778aee29" title="output reals as percentages">io::percent</a>(hazardRateStructure->survivalProbability(todaysDate +</div>
<div class="line"> 2 * Years))</div>
<div class="line"> << endl << <span class="stringliteral">" expected: "</span> << <a class="code" href="group__manips.html#gae524bfb28ff5254a99ba5a4e778aee29" title="output reals as percentages">io::percent</a>(0.9418) << endl;</div>
<div class="line"> </div>
<div class="line"> cout << endl << endl;</div>
<div class="line"> </div>
<div class="line"> <span class="comment">// reprice instruments</span></div>
<div class="line"> <a class="code" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78" title="real number">Real</a> nominal = 1000000.0;</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<DefaultProbabilityTermStructure></a> probability(hazardRateStructure);</div>
<div class="line"> ext::shared_ptr<PricingEngine> engine(</div>
<div class="line"> <span class="keyword">new</span> MidPointCdsEngine(probability, recovery_rate, tsCurve));</div>
<div class="line"> </div>
<div class="line"> <a name="_a14"></a><a class="code" href="class_quant_lib_1_1_schedule.html" title="Payment schedule.">Schedule</a> cdsSchedule = <a name="_a15"></a><a class="code" href="class_quant_lib_1_1_make_schedule.html" title="helper class">MakeSchedule</a>()</div>
<div class="line"> .<a name="a16"></a>from(todaysDate)</div>
<div class="line"> .<a name="a17"></a>to(maturities[0])</div>
<div class="line"> .<a name="a18"></a>withFrequency(<a class="code" href="group__datetime.html#gga6d41db8ba0ea90d22df35889df452adaab4fce358383d1822f7596659e00b07f7" title="every third month">Quarterly</a>)</div>
<div class="line"> .<a name="a19"></a>withCalendar(calendar)</div>
<div class="line"> .<a name="a20"></a>withTerminationDateConvention(<a name="a21"></a><a class="code" href="group__datetime.html#ggaff46c5ae9385d20709bedade86edd368a5fb8b90b7fdf1a3a228fbbc083e64547">Unadjusted</a>)</div>
<div class="line"> .<a name="a22"></a>withRule(DateGeneration::TwentiethIMM);</div>
<div class="line"> <a name="_a23"></a><a class="code" href="class_quant_lib_1_1_credit_default_swap.html" title="Credit default swap.">CreditDefaultSwap</a> cds_3m(Protection::Seller, nominal, quoted_spreads[0],</div>
<div class="line"> cdsSchedule, <a class="code" href="group__datetime.html#ggaff46c5ae9385d20709bedade86edd368ab6a37af780aa2b97f8bbdc4d149dae18">Following</a>, <a class="code" href="class_quant_lib_1_1_actual365_fixed.html" title="Actual/365 (Fixed) day count convention.">Actual365Fixed</a>());</div>
<div class="line"> </div>
<div class="line"> cdsSchedule = <a class="code" href="class_quant_lib_1_1_make_schedule.html" title="helper class">MakeSchedule</a>()</div>
<div class="line"> .from(todaysDate)</div>
<div class="line"> .to(maturities[1])</div>
<div class="line"> .withFrequency(<a class="code" href="group__datetime.html#gga6d41db8ba0ea90d22df35889df452adaab4fce358383d1822f7596659e00b07f7" title="every third month">Quarterly</a>)</div>
<div class="line"> .withCalendar(calendar)</div>
<div class="line"> .withTerminationDateConvention(<a class="code" href="group__datetime.html#ggaff46c5ae9385d20709bedade86edd368a5fb8b90b7fdf1a3a228fbbc083e64547">Unadjusted</a>)</div>
<div class="line"> .withRule(DateGeneration::TwentiethIMM);</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_credit_default_swap.html" title="Credit default swap.">CreditDefaultSwap</a> cds_6m(Protection::Seller, nominal, quoted_spreads[1],</div>
<div class="line"> cdsSchedule, <a class="code" href="group__datetime.html#ggaff46c5ae9385d20709bedade86edd368ab6a37af780aa2b97f8bbdc4d149dae18">Following</a>, <a class="code" href="class_quant_lib_1_1_actual365_fixed.html" title="Actual/365 (Fixed) day count convention.">Actual365Fixed</a>());</div>
<div class="line"> </div>
<div class="line"> cdsSchedule = <a class="code" href="class_quant_lib_1_1_make_schedule.html" title="helper class">MakeSchedule</a>()</div>
<div class="line"> .from(todaysDate)</div>
<div class="line"> .to(maturities[2])</div>
<div class="line"> .withFrequency(<a class="code" href="group__datetime.html#gga6d41db8ba0ea90d22df35889df452adaab4fce358383d1822f7596659e00b07f7" title="every third month">Quarterly</a>)</div>
<div class="line"> .withCalendar(calendar)</div>
<div class="line"> .withTerminationDateConvention(<a class="code" href="group__datetime.html#ggaff46c5ae9385d20709bedade86edd368a5fb8b90b7fdf1a3a228fbbc083e64547">Unadjusted</a>)</div>
<div class="line"> .withRule(DateGeneration::TwentiethIMM);</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_credit_default_swap.html" title="Credit default swap.">CreditDefaultSwap</a> cds_1y(Protection::Seller, nominal, quoted_spreads[2],</div>
<div class="line"> cdsSchedule, <a class="code" href="group__datetime.html#ggaff46c5ae9385d20709bedade86edd368ab6a37af780aa2b97f8bbdc4d149dae18">Following</a>, <a class="code" href="class_quant_lib_1_1_actual365_fixed.html" title="Actual/365 (Fixed) day count convention.">Actual365Fixed</a>());</div>
<div class="line"> </div>
<div class="line"> cdsSchedule = <a class="code" href="class_quant_lib_1_1_make_schedule.html" title="helper class">MakeSchedule</a>()</div>
<div class="line"> .from(todaysDate)</div>
<div class="line"> .to(maturities[3])</div>
<div class="line"> .withFrequency(<a class="code" href="group__datetime.html#gga6d41db8ba0ea90d22df35889df452adaab4fce358383d1822f7596659e00b07f7" title="every third month">Quarterly</a>)</div>
<div class="line"> .withCalendar(calendar)</div>
<div class="line"> .withTerminationDateConvention(<a class="code" href="group__datetime.html#ggaff46c5ae9385d20709bedade86edd368a5fb8b90b7fdf1a3a228fbbc083e64547">Unadjusted</a>)</div>
<div class="line"> .withRule(DateGeneration::TwentiethIMM);</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_credit_default_swap.html" title="Credit default swap.">CreditDefaultSwap</a> cds_2y(Protection::Seller, nominal, quoted_spreads[3],</div>
<div class="line"> cdsSchedule, <a class="code" href="group__datetime.html#ggaff46c5ae9385d20709bedade86edd368ab6a37af780aa2b97f8bbdc4d149dae18">Following</a>, <a class="code" href="class_quant_lib_1_1_actual365_fixed.html" title="Actual/365 (Fixed) day count convention.">Actual365Fixed</a>());</div>
<div class="line"> </div>
<div class="line"> cds_3m.setPricingEngine(engine);</div>
<div class="line"> cds_6m.setPricingEngine(engine);</div>
<div class="line"> cds_1y.setPricingEngine(engine);</div>
<div class="line"> cds_2y.setPricingEngine(engine);</div>
<div class="line"> </div>
<div class="line"> cout << <span class="stringliteral">"Repricing of quoted CDSs employed for calibration: "</span> << endl;</div>
<div class="line"> cout << <span class="stringliteral">"3M fair spread: "</span> << <a name="a24"></a><a class="code" href="group__manips.html#gac63ea3dad10259db3764c7d15a61cde5" title="output rates and spreads as percentages">io::rate</a>(cds_3m.fairSpread()) << endl</div>
<div class="line"> << <span class="stringliteral">" NPV: "</span> << cds_3m.NPV() << endl</div>
<div class="line"> << <span class="stringliteral">" default leg: "</span> << cds_3m.defaultLegNPV() << endl</div>
<div class="line"> << <span class="stringliteral">" coupon leg: "</span> << cds_3m.couponLegNPV() << endl << endl;</div>
<div class="line"> </div>
<div class="line"> cout << <span class="stringliteral">"6M fair spread: "</span> << <a class="code" href="group__manips.html#gac63ea3dad10259db3764c7d15a61cde5" title="output rates and spreads as percentages">io::rate</a>(cds_6m.fairSpread()) << endl</div>
<div class="line"> << <span class="stringliteral">" NPV: "</span> << cds_6m.NPV() << endl</div>
<div class="line"> << <span class="stringliteral">" default leg: "</span> << cds_6m.defaultLegNPV() << endl</div>
<div class="line"> << <span class="stringliteral">" coupon leg: "</span> << cds_6m.couponLegNPV() << endl << endl;</div>
<div class="line"> </div>
<div class="line"> cout << <span class="stringliteral">"1Y fair spread: "</span> << <a class="code" href="group__manips.html#gac63ea3dad10259db3764c7d15a61cde5" title="output rates and spreads as percentages">io::rate</a>(cds_1y.fairSpread()) << endl</div>
<div class="line"> << <span class="stringliteral">" NPV: "</span> << cds_1y.NPV() << endl</div>
<div class="line"> << <span class="stringliteral">" default leg: "</span> << cds_1y.defaultLegNPV() << endl</div>
<div class="line"> << <span class="stringliteral">" coupon leg: "</span> << cds_1y.couponLegNPV() << endl << endl;</div>
<div class="line"> </div>
<div class="line"> cout << <span class="stringliteral">"2Y fair spread: "</span> << <a class="code" href="group__manips.html#gac63ea3dad10259db3764c7d15a61cde5" title="output rates and spreads as percentages">io::rate</a>(cds_2y.fairSpread()) << endl</div>
<div class="line"> << <span class="stringliteral">" NPV: "</span> << cds_2y.NPV() << endl</div>
<div class="line"> << <span class="stringliteral">" default leg: "</span> << cds_2y.defaultLegNPV() << endl</div>
<div class="line"> << <span class="stringliteral">" coupon leg: "</span> << cds_2y.couponLegNPV() << endl << endl;</div>
<div class="line"> </div>
<div class="line"> cout << endl << endl;</div>
<div class="line"> </div>
<div class="line">}</div>
<div class="line"> </div>
<div class="line"><span class="keywordtype">void</span> example02() {</div>
<div class="line"> </div>
<div class="line"><a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a> todaysDate(25, September, 2014);</div>
<div class="line">Settings::instance().evaluationDate() = todaysDate;</div>
<div class="line"> </div>
<div class="line"><a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a> termDate = <a class="code" href="class_quant_lib_1_1_t_a_r_g_e_t.html" title="TARGET calendar">TARGET</a>().<a class="code" href="class_quant_lib_1_1_calendar.html#a712629806d9ef9a39f8144f368c81e4b">adjust</a>(todaysDate+<a name="_a25"></a><a class="code" href="class_quant_lib_1_1_period.html">Period</a>(2*Years), <a class="code" href="group__datetime.html#ggaff46c5ae9385d20709bedade86edd368ab6a37af780aa2b97f8bbdc4d149dae18">Following</a>);</div>
<div class="line"> </div>
<div class="line"><a class="code" href="class_quant_lib_1_1_schedule.html" title="Payment schedule.">Schedule</a> cdsSchedule =</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_make_schedule.html" title="helper class">MakeSchedule</a>().from(todaysDate).to(termDate)</div>
<div class="line"> .withFrequency(<a class="code" href="group__datetime.html#gga6d41db8ba0ea90d22df35889df452adaab4fce358383d1822f7596659e00b07f7" title="every third month">Quarterly</a>)</div>
<div class="line"> .withCalendar(<a name="_a26"></a><a class="code" href="class_quant_lib_1_1_weekends_only.html" title="Weekends-only calendar.">WeekendsOnly</a>())</div>
<div class="line"> .<a name="a27"></a>withConvention(<a name="a28"></a><a class="code" href="group__datetime.html#ggaff46c5ae9385d20709bedade86edd368a013e092c359f6031cc0563fd413ce707">ModifiedFollowing</a>)</div>
<div class="line"> .withTerminationDateConvention(<a class="code" href="group__datetime.html#ggaff46c5ae9385d20709bedade86edd368a013e092c359f6031cc0563fd413ce707">ModifiedFollowing</a>)</div>
<div class="line"> .withRule(DateGeneration::CDS);</div>
<div class="line"> </div>
<div class="line">std::copy(cdsSchedule.<a name="a29"></a>begin(), cdsSchedule.<a name="a30"></a>end(),</div>
<div class="line"> std::ostream_iterator<Date>(cout, <span class="stringliteral">"\n"</span>));</div>
<div class="line"> </div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a> evaluationDate = <a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a>(21, October, 2014);</div>
<div class="line"> </div>
<div class="line"> Settings::instance().evaluationDate() = evaluationDate;</div>
<div class="line"> </div>
<div class="line"> <span class="comment">// set up ISDA IR curve helpers</span></div>
<div class="line"> </div>
<div class="line"> ext::shared_ptr<DepositRateHelper> dp1m =</div>
<div class="line"> ext::make_shared<DepositRateHelper>(0.000060, 1 * Months, 2,</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_t_a_r_g_e_t.html" title="TARGET calendar">TARGET</a>(), <a class="code" href="group__datetime.html#ggaff46c5ae9385d20709bedade86edd368a013e092c359f6031cc0563fd413ce707">ModifiedFollowing</a>,</div>
<div class="line"> <span class="keyword">false</span>, <a name="_a31"></a><a class="code" href="class_quant_lib_1_1_actual360.html" title="Actual/360 day count convention.">Actual360</a>());</div>
<div class="line"> ext::shared_ptr<DepositRateHelper> dp2m =</div>
<div class="line"> ext::make_shared<DepositRateHelper>(0.000450, 2 * Months, 2,</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_t_a_r_g_e_t.html" title="TARGET calendar">TARGET</a>(), <a class="code" href="group__datetime.html#ggaff46c5ae9385d20709bedade86edd368a013e092c359f6031cc0563fd413ce707">ModifiedFollowing</a>,</div>
<div class="line"> <span class="keyword">false</span>, <a class="code" href="class_quant_lib_1_1_actual360.html" title="Actual/360 day count convention.">Actual360</a>());</div>
<div class="line"> ext::shared_ptr<DepositRateHelper> dp3m =</div>
<div class="line"> ext::make_shared<DepositRateHelper>(0.000810, 3 * Months, 2,</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_t_a_r_g_e_t.html" title="TARGET calendar">TARGET</a>(), <a class="code" href="group__datetime.html#ggaff46c5ae9385d20709bedade86edd368a013e092c359f6031cc0563fd413ce707">ModifiedFollowing</a>,</div>
<div class="line"> <span class="keyword">false</span>, <a class="code" href="class_quant_lib_1_1_actual360.html" title="Actual/360 day count convention.">Actual360</a>());</div>
<div class="line"> ext::shared_ptr<DepositRateHelper> dp6m =</div>
<div class="line"> ext::make_shared<DepositRateHelper>(0.001840, 6 * Months, 2,</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_t_a_r_g_e_t.html" title="TARGET calendar">TARGET</a>(), <a class="code" href="group__datetime.html#ggaff46c5ae9385d20709bedade86edd368a013e092c359f6031cc0563fd413ce707">ModifiedFollowing</a>,</div>
<div class="line"> <span class="keyword">false</span>, <a class="code" href="class_quant_lib_1_1_actual360.html" title="Actual/360 day count convention.">Actual360</a>());</div>
<div class="line"> ext::shared_ptr<DepositRateHelper> dp9m =</div>
<div class="line"> ext::make_shared<DepositRateHelper>(0.002560, 9 * Months, 2,</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_t_a_r_g_e_t.html" title="TARGET calendar">TARGET</a>(), <a class="code" href="group__datetime.html#ggaff46c5ae9385d20709bedade86edd368a013e092c359f6031cc0563fd413ce707">ModifiedFollowing</a>,</div>
<div class="line"> <span class="keyword">false</span>, <a class="code" href="class_quant_lib_1_1_actual360.html" title="Actual/360 day count convention.">Actual360</a>());</div>
<div class="line"> ext::shared_ptr<DepositRateHelper> dp12m =</div>
<div class="line"> ext::make_shared<DepositRateHelper>(0.003370, 12 * Months, 2,</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_t_a_r_g_e_t.html" title="TARGET calendar">TARGET</a>(), <a class="code" href="group__datetime.html#ggaff46c5ae9385d20709bedade86edd368a013e092c359f6031cc0563fd413ce707">ModifiedFollowing</a>,</div>
<div class="line"> <span class="keyword">false</span>, <a class="code" href="class_quant_lib_1_1_actual360.html" title="Actual/360 day count convention.">Actual360</a>());</div>
<div class="line"> </div>
<div class="line"> <span class="comment">// intentionally we do not provide a fixing for the euribor index used for</span></div>
<div class="line"> <span class="comment">// bootstrapping in order to be compliant with the ISDA specification</span></div>
<div class="line"> </div>
<div class="line"> ext::shared_ptr<IborIndex> euribor6m =</div>
<div class="line"> ext::make_shared<Euribor>(<a name="_a32"></a><a class="code" href="class_quant_lib_1_1_euribor.html" title="Euribor index">Euribor</a>(6 * Months));</div>
<div class="line"> </div>
<div class="line"> <span class="comment">// check if indexed coupon is defined (it should not to be 100% consistent with</span></div>
<div class="line"> <span class="comment">// the ISDA spec)</span></div>
<div class="line"> <span class="keywordflow">if</span> (!IborCoupon::usingAtParCoupons()) {</div>
<div class="line"> std::cout << <span class="stringliteral">"Warning: IborCoupon::usingAtParCoupons() == false is used, "</span></div>
<div class="line"> << <span class="stringliteral">"which is not precisely consistent with the specification "</span></div>
<div class="line"> << <span class="stringliteral">"of the ISDA rate curve."</span> << std::endl;</div>
<div class="line"> }</div>
<div class="line"> </div>
<div class="line"> ext::shared_ptr<SwapRateHelper> sw2y = ext::make_shared<SwapRateHelper>(</div>
<div class="line"> 0.002230, 2 * Years, <a class="code" href="class_quant_lib_1_1_t_a_r_g_e_t.html" title="TARGET calendar">TARGET</a>(), <a name="a33"></a><a class="code" href="group__datetime.html#gga6d41db8ba0ea90d22df35889df452adaa508b18014c96e2d466c12b39d7f4e426" title="once a year">Annual</a>, <a class="code" href="group__datetime.html#ggaff46c5ae9385d20709bedade86edd368a013e092c359f6031cc0563fd413ce707">ModifiedFollowing</a>, <a name="_a34"></a><a class="code" href="class_quant_lib_1_1_thirty360.html" title="30/360 day count convention">Thirty360</a>(),</div>
<div class="line"> euribor6m);</div>
<div class="line"> ext::shared_ptr<SwapRateHelper> sw3y = ext::make_shared<SwapRateHelper>(</div>
<div class="line"> 0.002760, 3 * Years, <a class="code" href="class_quant_lib_1_1_t_a_r_g_e_t.html" title="TARGET calendar">TARGET</a>(), <a class="code" href="group__datetime.html#gga6d41db8ba0ea90d22df35889df452adaa508b18014c96e2d466c12b39d7f4e426" title="once a year">Annual</a>, <a class="code" href="group__datetime.html#ggaff46c5ae9385d20709bedade86edd368a013e092c359f6031cc0563fd413ce707">ModifiedFollowing</a>, <a class="code" href="class_quant_lib_1_1_thirty360.html" title="30/360 day count convention">Thirty360</a>(),</div>
<div class="line"> euribor6m);</div>
<div class="line"> ext::shared_ptr<SwapRateHelper> sw4y = ext::make_shared<SwapRateHelper>(</div>
<div class="line"> 0.003530, 4 * Years, <a class="code" href="class_quant_lib_1_1_t_a_r_g_e_t.html" title="TARGET calendar">TARGET</a>(), <a class="code" href="group__datetime.html#gga6d41db8ba0ea90d22df35889df452adaa508b18014c96e2d466c12b39d7f4e426" title="once a year">Annual</a>, <a class="code" href="group__datetime.html#ggaff46c5ae9385d20709bedade86edd368a013e092c359f6031cc0563fd413ce707">ModifiedFollowing</a>, <a class="code" href="class_quant_lib_1_1_thirty360.html" title="30/360 day count convention">Thirty360</a>(),</div>
<div class="line"> euribor6m);</div>
<div class="line"> ext::shared_ptr<SwapRateHelper> sw5y = ext::make_shared<SwapRateHelper>(</div>
<div class="line"> 0.004520, 5 * Years, <a class="code" href="class_quant_lib_1_1_t_a_r_g_e_t.html" title="TARGET calendar">TARGET</a>(), <a class="code" href="group__datetime.html#gga6d41db8ba0ea90d22df35889df452adaa508b18014c96e2d466c12b39d7f4e426" title="once a year">Annual</a>, <a class="code" href="group__datetime.html#ggaff46c5ae9385d20709bedade86edd368a013e092c359f6031cc0563fd413ce707">ModifiedFollowing</a>, <a class="code" href="class_quant_lib_1_1_thirty360.html" title="30/360 day count convention">Thirty360</a>(),</div>
<div class="line"> euribor6m);</div>
<div class="line"> ext::shared_ptr<SwapRateHelper> sw6y = ext::make_shared<SwapRateHelper>(</div>
<div class="line"> 0.005720, 6 * Years, <a class="code" href="class_quant_lib_1_1_t_a_r_g_e_t.html" title="TARGET calendar">TARGET</a>(), <a class="code" href="group__datetime.html#gga6d41db8ba0ea90d22df35889df452adaa508b18014c96e2d466c12b39d7f4e426" title="once a year">Annual</a>, <a class="code" href="group__datetime.html#ggaff46c5ae9385d20709bedade86edd368a013e092c359f6031cc0563fd413ce707">ModifiedFollowing</a>, <a class="code" href="class_quant_lib_1_1_thirty360.html" title="30/360 day count convention">Thirty360</a>(),</div>
<div class="line"> euribor6m);</div>
<div class="line"> ext::shared_ptr<SwapRateHelper> sw7y = ext::make_shared<SwapRateHelper>(</div>
<div class="line"> 0.007050, 7 * Years, <a class="code" href="class_quant_lib_1_1_t_a_r_g_e_t.html" title="TARGET calendar">TARGET</a>(), <a class="code" href="group__datetime.html#gga6d41db8ba0ea90d22df35889df452adaa508b18014c96e2d466c12b39d7f4e426" title="once a year">Annual</a>, <a class="code" href="group__datetime.html#ggaff46c5ae9385d20709bedade86edd368a013e092c359f6031cc0563fd413ce707">ModifiedFollowing</a>, <a class="code" href="class_quant_lib_1_1_thirty360.html" title="30/360 day count convention">Thirty360</a>(),</div>
<div class="line"> euribor6m);</div>
<div class="line"> ext::shared_ptr<SwapRateHelper> sw8y = ext::make_shared<SwapRateHelper>(</div>
<div class="line"> 0.008420, 8 * Years, <a class="code" href="class_quant_lib_1_1_t_a_r_g_e_t.html" title="TARGET calendar">TARGET</a>(), <a class="code" href="group__datetime.html#gga6d41db8ba0ea90d22df35889df452adaa508b18014c96e2d466c12b39d7f4e426" title="once a year">Annual</a>, <a class="code" href="group__datetime.html#ggaff46c5ae9385d20709bedade86edd368a013e092c359f6031cc0563fd413ce707">ModifiedFollowing</a>, <a class="code" href="class_quant_lib_1_1_thirty360.html" title="30/360 day count convention">Thirty360</a>(),</div>
<div class="line"> euribor6m);</div>
<div class="line"> ext::shared_ptr<SwapRateHelper> sw9y = ext::make_shared<SwapRateHelper>(</div>
<div class="line"> 0.009720, 9 * Years, <a class="code" href="class_quant_lib_1_1_t_a_r_g_e_t.html" title="TARGET calendar">TARGET</a>(), <a class="code" href="group__datetime.html#gga6d41db8ba0ea90d22df35889df452adaa508b18014c96e2d466c12b39d7f4e426" title="once a year">Annual</a>, <a class="code" href="group__datetime.html#ggaff46c5ae9385d20709bedade86edd368a013e092c359f6031cc0563fd413ce707">ModifiedFollowing</a>, <a class="code" href="class_quant_lib_1_1_thirty360.html" title="30/360 day count convention">Thirty360</a>(),</div>
<div class="line"> euribor6m);</div>
<div class="line"> ext::shared_ptr<SwapRateHelper> sw10y = ext::make_shared<SwapRateHelper>(</div>
<div class="line"> 0.010900, 10 * Years, <a class="code" href="class_quant_lib_1_1_t_a_r_g_e_t.html" title="TARGET calendar">TARGET</a>(), <a class="code" href="group__datetime.html#gga6d41db8ba0ea90d22df35889df452adaa508b18014c96e2d466c12b39d7f4e426" title="once a year">Annual</a>, <a class="code" href="group__datetime.html#ggaff46c5ae9385d20709bedade86edd368a013e092c359f6031cc0563fd413ce707">ModifiedFollowing</a>, <a class="code" href="class_quant_lib_1_1_thirty360.html" title="30/360 day count convention">Thirty360</a>(),</div>
<div class="line"> euribor6m);</div>
<div class="line"> ext::shared_ptr<SwapRateHelper> sw12y = ext::make_shared<SwapRateHelper>(</div>
<div class="line"> 0.012870, 12 * Years, <a class="code" href="class_quant_lib_1_1_t_a_r_g_e_t.html" title="TARGET calendar">TARGET</a>(), <a class="code" href="group__datetime.html#gga6d41db8ba0ea90d22df35889df452adaa508b18014c96e2d466c12b39d7f4e426" title="once a year">Annual</a>, <a class="code" href="group__datetime.html#ggaff46c5ae9385d20709bedade86edd368a013e092c359f6031cc0563fd413ce707">ModifiedFollowing</a>, <a class="code" href="class_quant_lib_1_1_thirty360.html" title="30/360 day count convention">Thirty360</a>(),</div>
<div class="line"> euribor6m);</div>
<div class="line"> ext::shared_ptr<SwapRateHelper> sw15y = ext::make_shared<SwapRateHelper>(</div>
<div class="line"> 0.014970, 15 * Years, <a class="code" href="class_quant_lib_1_1_t_a_r_g_e_t.html" title="TARGET calendar">TARGET</a>(), <a class="code" href="group__datetime.html#gga6d41db8ba0ea90d22df35889df452adaa508b18014c96e2d466c12b39d7f4e426" title="once a year">Annual</a>, <a class="code" href="group__datetime.html#ggaff46c5ae9385d20709bedade86edd368a013e092c359f6031cc0563fd413ce707">ModifiedFollowing</a>, <a class="code" href="class_quant_lib_1_1_thirty360.html" title="30/360 day count convention">Thirty360</a>(),</div>
<div class="line"> euribor6m);</div>
<div class="line"> ext::shared_ptr<SwapRateHelper> sw20y = ext::make_shared<SwapRateHelper>(</div>
<div class="line"> 0.017000, 20 * Years, <a class="code" href="class_quant_lib_1_1_t_a_r_g_e_t.html" title="TARGET calendar">TARGET</a>(), <a class="code" href="group__datetime.html#gga6d41db8ba0ea90d22df35889df452adaa508b18014c96e2d466c12b39d7f4e426" title="once a year">Annual</a>, <a class="code" href="group__datetime.html#ggaff46c5ae9385d20709bedade86edd368a013e092c359f6031cc0563fd413ce707">ModifiedFollowing</a>, <a class="code" href="class_quant_lib_1_1_thirty360.html" title="30/360 day count convention">Thirty360</a>(),</div>
<div class="line"> euribor6m);</div>
<div class="line"> ext::shared_ptr<SwapRateHelper> sw30y = ext::make_shared<SwapRateHelper>(</div>
<div class="line"> 0.018210, 30 * Years, <a class="code" href="class_quant_lib_1_1_t_a_r_g_e_t.html" title="TARGET calendar">TARGET</a>(), <a class="code" href="group__datetime.html#gga6d41db8ba0ea90d22df35889df452adaa508b18014c96e2d466c12b39d7f4e426" title="once a year">Annual</a>, <a class="code" href="group__datetime.html#ggaff46c5ae9385d20709bedade86edd368a013e092c359f6031cc0563fd413ce707">ModifiedFollowing</a>, <a class="code" href="class_quant_lib_1_1_thirty360.html" title="30/360 day count convention">Thirty360</a>(),</div>
<div class="line"> euribor6m);</div>
<div class="line"> </div>
<div class="line"> std::vector<ext::shared_ptr<RateHelper> > isdaRateHelper;</div>
<div class="line"> </div>
<div class="line"> isdaRateHelper.push_back(dp1m);</div>
<div class="line"> isdaRateHelper.push_back(dp2m);</div>
<div class="line"> isdaRateHelper.push_back(dp3m);</div>
<div class="line"> isdaRateHelper.push_back(dp6m);</div>
<div class="line"> isdaRateHelper.push_back(dp9m);</div>
<div class="line"> isdaRateHelper.push_back(dp12m);</div>
<div class="line"> isdaRateHelper.push_back(sw2y);</div>
<div class="line"> isdaRateHelper.push_back(sw3y);</div>
<div class="line"> isdaRateHelper.push_back(sw4y);</div>
<div class="line"> isdaRateHelper.push_back(sw5y);</div>
<div class="line"> isdaRateHelper.push_back(sw6y);</div>
<div class="line"> isdaRateHelper.push_back(sw7y);</div>
<div class="line"> isdaRateHelper.push_back(sw8y);</div>
<div class="line"> isdaRateHelper.push_back(sw9y);</div>
<div class="line"> isdaRateHelper.push_back(sw10y);</div>
<div class="line"> isdaRateHelper.push_back(sw12y);</div>
<div class="line"> isdaRateHelper.push_back(sw15y);</div>
<div class="line"> isdaRateHelper.push_back(sw20y);</div>
<div class="line"> isdaRateHelper.push_back(sw30y);</div>
<div class="line"> </div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_handle.html">Handle<YieldTermStructure></a> rateTs(</div>
<div class="line"> ext::make_shared<<a name="_a35"></a><a class="code" href="class_quant_lib_1_1_piecewise_yield_curve.html" title="Piecewise yield term structure.">PiecewiseYieldCurve<Discount, LogLinear></a> >(</div>
<div class="line"> 0, <a class="code" href="class_quant_lib_1_1_weekends_only.html" title="Weekends-only calendar.">WeekendsOnly</a>(), isdaRateHelper, <a class="code" href="class_quant_lib_1_1_actual365_fixed.html" title="Actual/365 (Fixed) day count convention.">Actual365Fixed</a>()));</div>
<div class="line"> rateTs->enableExtrapolation();</div>
<div class="line"> </div>
<div class="line"> <span class="comment">// output rate curve</span></div>
<div class="line"> std::cout << <span class="stringliteral">"ISDA rate curve: "</span> << std::endl;</div>
<div class="line"> <span class="keywordflow">for</span>(<a class="code" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> i=0;i<isdaRateHelper.size(); i++) {</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a> d = isdaRateHelper[i]->latestDate();</div>
<div class="line"> std::cout << d << <span class="stringliteral">"\t"</span> << setprecision(6) <<</div>
<div class="line"> rateTs->zeroRate(d,<a class="code" href="class_quant_lib_1_1_actual365_fixed.html" title="Actual/365 (Fixed) day count convention.">Actual365Fixed</a>(),Continuous).rate() << <span class="stringliteral">"\t"</span> <<</div>
<div class="line"> rateTs->discount(d) << std::endl;</div>
<div class="line"> }</div>
<div class="line"> </div>
<div class="line"> <span class="comment">// build reference credit curve (flat)</span></div>
<div class="line"> ext::shared_ptr<DefaultProbabilityTermStructure> defaultTs0 =</div>
<div class="line"> ext::make_shared<FlatHazardRate>(0, <a class="code" href="class_quant_lib_1_1_weekends_only.html" title="Weekends-only calendar.">WeekendsOnly</a>(), 0.016739207493630,<a class="code" href="class_quant_lib_1_1_actual365_fixed.html" title="Actual/365 (Fixed) day count convention.">Actual365Fixed</a>());</div>
<div class="line"> </div>
<div class="line"> <span class="comment">// reference CDS</span></div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_schedule.html" title="Payment schedule.">Schedule</a> sched( <a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a>(22,September,2014), <a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a>(20,December,2019), 3*Months,</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_weekends_only.html" title="Weekends-only calendar.">WeekendsOnly</a>(), <a class="code" href="group__datetime.html#ggaff46c5ae9385d20709bedade86edd368ab6a37af780aa2b97f8bbdc4d149dae18">Following</a>, <a class="code" href="group__datetime.html#ggaff46c5ae9385d20709bedade86edd368a5fb8b90b7fdf1a3a228fbbc083e64547">Unadjusted</a>, DateGeneration::CDS, <span class="keyword">false</span>, <a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a>(), <a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a>() );</div>
<div class="line"> ext::shared_ptr<CreditDefaultSwap> trade =</div>
<div class="line"> ext::shared_ptr<CreditDefaultSwap>(</div>
<div class="line"> <span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_credit_default_swap.html" title="Credit default swap.">CreditDefaultSwap</a>(Protection::Buyer, 100000000.0, 0.01, sched,</div>
<div class="line"> <a class="code" href="group__datetime.html#ggaff46c5ae9385d20709bedade86edd368ab6a37af780aa2b97f8bbdc4d149dae18">Following</a>, <a class="code" href="class_quant_lib_1_1_actual360.html" title="Actual/360 day count convention.">Actual360</a>(), <span class="keyword">true</span>, <span class="keyword">true</span>,</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a>(22,October,2014), ext::shared_ptr<Claim>(),</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_actual360.html" title="Actual/360 day count convention.">Actual360</a>(<span class="keyword">true</span>), <span class="keyword">true</span>));</div>
<div class="line"> </div>
<div class="line"> ext::shared_ptr<FixedRateCoupon> cp = ext::dynamic_pointer_cast<FixedRateCoupon>(trade->coupons()[0]);</div>
<div class="line"> std::cout << <span class="stringliteral">"first period = "</span> << cp->accrualStartDate() << <span class="stringliteral">" to "</span> << cp->accrualEndDate() <<</div>
<div class="line"> <span class="stringliteral">" accrued amount = "</span> << cp->accruedAmount(<a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a>(24,October,2014)) << std::endl;</div>
<div class="line"> </div>
<div class="line"> <span class="comment">// price with isda engine</span></div>
<div class="line"> ext::shared_ptr<IsdaCdsEngine> engine = ext::make_shared<IsdaCdsEngine>(</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<DefaultProbabilityTermStructure></a>(defaultTs0), 0.4, rateTs,</div>
<div class="line"> <span class="keyword">false</span>, IsdaCdsEngine::Taylor, IsdaCdsEngine::NoBias, IsdaCdsEngine::Piecewise);</div>
<div class="line"> </div>
<div class="line"> trade->setPricingEngine(engine);</div>
<div class="line"> </div>
<div class="line"> std::cout << <span class="stringliteral">"reference trade NPV = "</span> << trade->NPV() << std::endl;</div>
<div class="line"> </div>
<div class="line"> </div>
<div class="line"> <span class="comment">// build credit curve with one cds</span></div>
<div class="line"> std::vector<ext::shared_ptr<DefaultProbabilityHelper> > isdaCdsHelper;</div>
<div class="line"> </div>
<div class="line"> ext::shared_ptr<CdsHelper> cds5y(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_spread_cds_helper.html" title="Spread-quoted CDS hazard rate bootstrap helper.">SpreadCdsHelper</a>(</div>
<div class="line"> 0.00672658551, 4 * Years + 6 * Months, 1, <a class="code" href="class_quant_lib_1_1_weekends_only.html" title="Weekends-only calendar.">WeekendsOnly</a>(), <a class="code" href="group__datetime.html#gga6d41db8ba0ea90d22df35889df452adaab4fce358383d1822f7596659e00b07f7" title="every third month">Quarterly</a>,</div>
<div class="line"> <a class="code" href="group__datetime.html#ggaff46c5ae9385d20709bedade86edd368ab6a37af780aa2b97f8bbdc4d149dae18">Following</a>, DateGeneration::CDS, <a class="code" href="class_quant_lib_1_1_actual360.html" title="Actual/360 day count convention.">Actual360</a>(), 0.4, rateTs, <span class="keyword">true</span>, <span class="keyword">true</span>,</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a>(), <a class="code" href="class_quant_lib_1_1_actual360.html" title="Actual/360 day count convention.">Actual360</a>(<span class="keyword">true</span>), <span class="keyword">true</span>, CreditDefaultSwap::ISDA));</div>
<div class="line"> </div>
<div class="line"> isdaCdsHelper.push_back(cds5y);</div>
<div class="line"> </div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<DefaultProbabilityTermStructure></a> defaultTs(ext::make_shared<</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_piecewise_default_curve.html" title="Piecewise default-probability term structure.">PiecewiseDefaultCurve<SurvivalProbability, LogLinear></a> >(</div>
<div class="line"> 0, <a class="code" href="class_quant_lib_1_1_weekends_only.html" title="Weekends-only calendar.">WeekendsOnly</a>(), isdaCdsHelper, <a class="code" href="class_quant_lib_1_1_actual365_fixed.html" title="Actual/365 (Fixed) day count convention.">Actual365Fixed</a>()));</div>
<div class="line"> </div>
<div class="line"> std::cout << <span class="stringliteral">"ISDA credit curve: "</span> << std::endl;</div>
<div class="line"> <span class="keywordflow">for</span>(<a class="code" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> i=0;i<isdaCdsHelper.size();i++) {</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a> d = isdaCdsHelper[i]->latestDate();</div>
<div class="line"> <a class="code" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78" title="real number">Real</a> pd = defaultTs->defaultProbability(d);</div>
<div class="line"> <a class="code" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78" title="real number">Real</a> t = defaultTs->timeFromReference(d);</div>
<div class="line"> std::cout << d << <span class="stringliteral">";"</span> << pd << <span class="stringliteral">";"</span> << 1.0 - pd << <span class="stringliteral">";"</span> <<</div>
<div class="line"> -std::log(1.0-pd)/t << std::endl;</div>
<div class="line"> }</div>
<div class="line"> </div>
<div class="line"> </div>
<div class="line"> </div>
<div class="line"> <span class="comment">// // set up sample CDS trade</span></div>
<div class="line"> </div>
<div class="line"> <span class="comment">// ext::shared_ptr<CreditDefaultSwap> trade =</span></div>
<div class="line"> <span class="comment">// MakeCreditDefaultSwap(5 * Years, 0.03);</span></div>
<div class="line"> </div>
<div class="line"> <span class="comment">// // set up isda engine</span></div>
<div class="line"> </div>
<div class="line"> <span class="comment">// // ext::shared_ptr<IsdaCdsEngine> isdaPricer =</span></div>
<div class="line"> <span class="comment">// // ext::make_shared<IsdaCdsEngine>(</span></div>
<div class="line"> <span class="comment">// // isdaCdsHelper, 0.4, isdaRateHelper);</span></div>
<div class="line"> <span class="comment">// ext::shared_ptr<IsdaCdsEngine> isdaPricer =</span></div>
<div class="line"> <span class="comment">// ext::make_shared<IsdaCdsEngine>(defaultTs,0.40,rateTs);</span></div>
<div class="line"> </div>
<div class="line"> <span class="comment">// check the curves built by the engine</span></div>
<div class="line"> </div>
<div class="line"> <span class="comment">// Handle<YieldTermStructure> isdaYts = isdaPricer->isdaRateCurve();</span></div>
<div class="line"> <span class="comment">// Handle<DefaultProbabilityTermStructure> isdaCts = isdaPricer->isdaCreditCurve();</span></div>
<div class="line"> </div>
<div class="line"> <span class="comment">// std::cout << "isda rate 1m " << dp1m->latestDate() << " "</span></div>
<div class="line"> <span class="comment">// << isdaYts->zeroRate(dp1m->latestDate(), Actual365Fixed(),</span></div>
<div class="line"> <span class="comment">// Continuous) << std::endl;</span></div>
<div class="line"> <span class="comment">// std::cout << "isda rate 3m " << dp3m->latestDate() << " "</span></div>
<div class="line"> <span class="comment">// << isdaYts->zeroRate(dp3m->latestDate(), Actual365Fixed(),</span></div>
<div class="line"> <span class="comment">// Continuous) << std::endl;</span></div>
<div class="line"> <span class="comment">// std::cout << "isda rate 6m " << dp6m->latestDate() << " "</span></div>
<div class="line"> <span class="comment">// << isdaYts->zeroRate(dp6m->latestDate(), Actual365Fixed(),</span></div>
<div class="line"> <span class="comment">// Continuous) << std::endl;</span></div>
<div class="line"> </div>
<div class="line"> <span class="comment">// std::cout << "isda hazard 5y " << cds5y->latestDate() << " "</span></div>
<div class="line"> <span class="comment">// << isdaCts->hazardRate(cds5y->latestDate()) << std::endl;</span></div>
<div class="line"> </div>
<div class="line"> <span class="comment">// price the trade</span></div>
<div class="line"> </div>
<div class="line"> <span class="comment">// trade->setPricingEngine(isdaPricer);</span></div>
<div class="line"> </div>
<div class="line"> <span class="comment">// Real npv = trade->NPV();</span></div>
<div class="line"> </div>
<div class="line"> <span class="comment">// std::cout << "Pricing of example trade with ISDA engine:" << std::endl;</span></div>
<div class="line"> <span class="comment">// std::cout << "NPV = " << npv << std::endl;</span></div>
<div class="line"> </div>
<div class="line">}</div>
<div class="line"> </div>
<div class="line"><span class="keywordtype">void</span> example03() {</div>
<div class="line"> </div>
<div class="line"> <span class="comment">// this is the example from Apdx E in pricing and risk management of CDS, OpenGamma</span></div>
<div class="line"> </div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a> tradeDate(13,June,2011);</div>
<div class="line"> </div>
<div class="line"> Settings::instance().evaluationDate() = tradeDate;</div>
<div class="line"> </div>
<div class="line"> ext::shared_ptr<DepositRateHelper> dp1m =</div>
<div class="line"> ext::make_shared<DepositRateHelper>(0.00445, 1 * Months, 2,</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_weekends_only.html" title="Weekends-only calendar.">WeekendsOnly</a>(), <a class="code" href="group__datetime.html#ggaff46c5ae9385d20709bedade86edd368a013e092c359f6031cc0563fd413ce707">ModifiedFollowing</a>,</div>
<div class="line"> <span class="keyword">false</span>, <a class="code" href="class_quant_lib_1_1_actual360.html" title="Actual/360 day count convention.">Actual360</a>());</div>
<div class="line"> ext::shared_ptr<DepositRateHelper> dp2m =</div>
<div class="line"> ext::make_shared<DepositRateHelper>(0.00949, 2 * Months, 2,</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_weekends_only.html" title="Weekends-only calendar.">WeekendsOnly</a>(), <a class="code" href="group__datetime.html#ggaff46c5ae9385d20709bedade86edd368a013e092c359f6031cc0563fd413ce707">ModifiedFollowing</a>,</div>
<div class="line"> <span class="keyword">false</span>, <a class="code" href="class_quant_lib_1_1_actual360.html" title="Actual/360 day count convention.">Actual360</a>());</div>
<div class="line"> ext::shared_ptr<DepositRateHelper> dp3m =</div>
<div class="line"> ext::make_shared<DepositRateHelper>(0.01234, 3 * Months, 2,</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_weekends_only.html" title="Weekends-only calendar.">WeekendsOnly</a>(), <a class="code" href="group__datetime.html#ggaff46c5ae9385d20709bedade86edd368a013e092c359f6031cc0563fd413ce707">ModifiedFollowing</a>,</div>
<div class="line"> <span class="keyword">false</span>, <a class="code" href="class_quant_lib_1_1_actual360.html" title="Actual/360 day count convention.">Actual360</a>());</div>
<div class="line"> ext::shared_ptr<DepositRateHelper> dp6m =</div>
<div class="line"> ext::make_shared<DepositRateHelper>(0.01776, 6 * Months, 2,</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_weekends_only.html" title="Weekends-only calendar.">WeekendsOnly</a>(), <a class="code" href="group__datetime.html#ggaff46c5ae9385d20709bedade86edd368a013e092c359f6031cc0563fd413ce707">ModifiedFollowing</a>,</div>
<div class="line"> <span class="keyword">false</span>, <a class="code" href="class_quant_lib_1_1_actual360.html" title="Actual/360 day count convention.">Actual360</a>());</div>
<div class="line"> ext::shared_ptr<DepositRateHelper> dp9m =</div>
<div class="line"> ext::make_shared<DepositRateHelper>(0.01935, 9 * Months, 2,</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_weekends_only.html" title="Weekends-only calendar.">WeekendsOnly</a>(), <a class="code" href="group__datetime.html#ggaff46c5ae9385d20709bedade86edd368a013e092c359f6031cc0563fd413ce707">ModifiedFollowing</a>,</div>
<div class="line"> <span class="keyword">false</span>, <a class="code" href="class_quant_lib_1_1_actual360.html" title="Actual/360 day count convention.">Actual360</a>());</div>
<div class="line"> ext::shared_ptr<DepositRateHelper> dp1y =</div>
<div class="line"> ext::make_shared<DepositRateHelper>(0.02084, 12 * Months, 2,</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_weekends_only.html" title="Weekends-only calendar.">WeekendsOnly</a>(), <a class="code" href="group__datetime.html#ggaff46c5ae9385d20709bedade86edd368a013e092c359f6031cc0563fd413ce707">ModifiedFollowing</a>,</div>
<div class="line"> <span class="keyword">false</span>, <a class="code" href="class_quant_lib_1_1_actual360.html" title="Actual/360 day count convention.">Actual360</a>());</div>
<div class="line"> </div>
<div class="line"> <span class="comment">// this index is probably not important since we are not using</span></div>
<div class="line"> <span class="comment">// IborCoupon::usingAtParCoupons() == false </span></div>
<div class="line"> <span class="comment">// - define it "isda compliant" anyway</span></div>
<div class="line"> ext::shared_ptr<IborIndex> euribor6m = ext::make_shared<IborIndex>(</div>
<div class="line"> <span class="stringliteral">"IsdaIbor"</span>, 6 * Months, 2, <a name="_a36"></a><a class="code" href="class_quant_lib_1_1_e_u_r_currency.html" title="European Euro.">EURCurrency</a>(), <a class="code" href="class_quant_lib_1_1_weekends_only.html" title="Weekends-only calendar.">WeekendsOnly</a>(),</div>
<div class="line"> <a class="code" href="group__datetime.html#ggaff46c5ae9385d20709bedade86edd368a013e092c359f6031cc0563fd413ce707">ModifiedFollowing</a>, <span class="keyword">false</span>, <a class="code" href="class_quant_lib_1_1_actual360.html" title="Actual/360 day count convention.">Actual360</a>());</div>
<div class="line"> </div>
<div class="line"> ext::shared_ptr<SwapRateHelper> sw2y = ext::make_shared<SwapRateHelper>(</div>
<div class="line"> 0.01652, 2 * Years, <a class="code" href="class_quant_lib_1_1_weekends_only.html" title="Weekends-only calendar.">WeekendsOnly</a>(), <a class="code" href="group__datetime.html#gga6d41db8ba0ea90d22df35889df452adaa508b18014c96e2d466c12b39d7f4e426" title="once a year">Annual</a>, <a class="code" href="group__datetime.html#ggaff46c5ae9385d20709bedade86edd368a013e092c359f6031cc0563fd413ce707">ModifiedFollowing</a>, <a class="code" href="class_quant_lib_1_1_thirty360.html" title="30/360 day count convention">Thirty360</a>(),</div>
<div class="line"> euribor6m);</div>
<div class="line"> ext::shared_ptr<SwapRateHelper> sw3y = ext::make_shared<SwapRateHelper>(</div>
<div class="line"> 0.02018, 3 * Years, <a class="code" href="class_quant_lib_1_1_weekends_only.html" title="Weekends-only calendar.">WeekendsOnly</a>(), <a class="code" href="group__datetime.html#gga6d41db8ba0ea90d22df35889df452adaa508b18014c96e2d466c12b39d7f4e426" title="once a year">Annual</a>, <a class="code" href="group__datetime.html#ggaff46c5ae9385d20709bedade86edd368a013e092c359f6031cc0563fd413ce707">ModifiedFollowing</a>, <a class="code" href="class_quant_lib_1_1_thirty360.html" title="30/360 day count convention">Thirty360</a>(),</div>
<div class="line"> euribor6m);</div>
<div class="line"> ext::shared_ptr<SwapRateHelper> sw4y = ext::make_shared<SwapRateHelper>(</div>
<div class="line"> 0.02303, 4 * Years, <a class="code" href="class_quant_lib_1_1_weekends_only.html" title="Weekends-only calendar.">WeekendsOnly</a>(), <a class="code" href="group__datetime.html#gga6d41db8ba0ea90d22df35889df452adaa508b18014c96e2d466c12b39d7f4e426" title="once a year">Annual</a>, <a class="code" href="group__datetime.html#ggaff46c5ae9385d20709bedade86edd368a013e092c359f6031cc0563fd413ce707">ModifiedFollowing</a>, <a class="code" href="class_quant_lib_1_1_thirty360.html" title="30/360 day count convention">Thirty360</a>(),</div>
<div class="line"> euribor6m);</div>
<div class="line"> ext::shared_ptr<SwapRateHelper> sw5y = ext::make_shared<SwapRateHelper>(</div>
<div class="line"> 0.02525, 5 * Years, <a class="code" href="class_quant_lib_1_1_weekends_only.html" title="Weekends-only calendar.">WeekendsOnly</a>(), <a class="code" href="group__datetime.html#gga6d41db8ba0ea90d22df35889df452adaa508b18014c96e2d466c12b39d7f4e426" title="once a year">Annual</a>, <a class="code" href="group__datetime.html#ggaff46c5ae9385d20709bedade86edd368a013e092c359f6031cc0563fd413ce707">ModifiedFollowing</a>, <a class="code" href="class_quant_lib_1_1_thirty360.html" title="30/360 day count convention">Thirty360</a>(),</div>
<div class="line"> euribor6m);</div>
<div class="line"> ext::shared_ptr<SwapRateHelper> sw6y = ext::make_shared<SwapRateHelper>(</div>
<div class="line"> 0.02696, 6 * Years, <a class="code" href="class_quant_lib_1_1_weekends_only.html" title="Weekends-only calendar.">WeekendsOnly</a>(), <a class="code" href="group__datetime.html#gga6d41db8ba0ea90d22df35889df452adaa508b18014c96e2d466c12b39d7f4e426" title="once a year">Annual</a>, <a class="code" href="group__datetime.html#ggaff46c5ae9385d20709bedade86edd368a013e092c359f6031cc0563fd413ce707">ModifiedFollowing</a>, <a class="code" href="class_quant_lib_1_1_thirty360.html" title="30/360 day count convention">Thirty360</a>(),</div>
<div class="line"> euribor6m);</div>
<div class="line"> ext::shared_ptr<SwapRateHelper> sw7y = ext::make_shared<SwapRateHelper>(</div>
<div class="line"> 0.02825, 7 * Years, <a class="code" href="class_quant_lib_1_1_weekends_only.html" title="Weekends-only calendar.">WeekendsOnly</a>(), <a class="code" href="group__datetime.html#gga6d41db8ba0ea90d22df35889df452adaa508b18014c96e2d466c12b39d7f4e426" title="once a year">Annual</a>, <a class="code" href="group__datetime.html#ggaff46c5ae9385d20709bedade86edd368a013e092c359f6031cc0563fd413ce707">ModifiedFollowing</a>, <a class="code" href="class_quant_lib_1_1_thirty360.html" title="30/360 day count convention">Thirty360</a>(),</div>
<div class="line"> euribor6m);</div>
<div class="line"> ext::shared_ptr<SwapRateHelper> sw8y = ext::make_shared<SwapRateHelper>(</div>
<div class="line"> 0.02931, 8 * Years, <a class="code" href="class_quant_lib_1_1_weekends_only.html" title="Weekends-only calendar.">WeekendsOnly</a>(), <a class="code" href="group__datetime.html#gga6d41db8ba0ea90d22df35889df452adaa508b18014c96e2d466c12b39d7f4e426" title="once a year">Annual</a>, <a class="code" href="group__datetime.html#ggaff46c5ae9385d20709bedade86edd368a013e092c359f6031cc0563fd413ce707">ModifiedFollowing</a>, <a class="code" href="class_quant_lib_1_1_thirty360.html" title="30/360 day count convention">Thirty360</a>(),</div>
<div class="line"> euribor6m);</div>
<div class="line"> ext::shared_ptr<SwapRateHelper> sw9y = ext::make_shared<SwapRateHelper>(</div>
<div class="line"> 0.03017, 9 * Years, <a class="code" href="class_quant_lib_1_1_weekends_only.html" title="Weekends-only calendar.">WeekendsOnly</a>(), <a class="code" href="group__datetime.html#gga6d41db8ba0ea90d22df35889df452adaa508b18014c96e2d466c12b39d7f4e426" title="once a year">Annual</a>, <a class="code" href="group__datetime.html#ggaff46c5ae9385d20709bedade86edd368a013e092c359f6031cc0563fd413ce707">ModifiedFollowing</a>, <a class="code" href="class_quant_lib_1_1_thirty360.html" title="30/360 day count convention">Thirty360</a>(),</div>
<div class="line"> euribor6m);</div>
<div class="line"> ext::shared_ptr<SwapRateHelper> sw10y = ext::make_shared<SwapRateHelper>(</div>
<div class="line"> 0.03092, 10 * Years, <a class="code" href="class_quant_lib_1_1_weekends_only.html" title="Weekends-only calendar.">WeekendsOnly</a>(), <a class="code" href="group__datetime.html#gga6d41db8ba0ea90d22df35889df452adaa508b18014c96e2d466c12b39d7f4e426" title="once a year">Annual</a>, <a class="code" href="group__datetime.html#ggaff46c5ae9385d20709bedade86edd368a013e092c359f6031cc0563fd413ce707">ModifiedFollowing</a>, <a class="code" href="class_quant_lib_1_1_thirty360.html" title="30/360 day count convention">Thirty360</a>(),</div>
<div class="line"> euribor6m);</div>
<div class="line"> ext::shared_ptr<SwapRateHelper> sw11y = ext::make_shared<SwapRateHelper>(</div>
<div class="line"> 0.03160, 11 * Years, <a class="code" href="class_quant_lib_1_1_weekends_only.html" title="Weekends-only calendar.">WeekendsOnly</a>(), <a class="code" href="group__datetime.html#gga6d41db8ba0ea90d22df35889df452adaa508b18014c96e2d466c12b39d7f4e426" title="once a year">Annual</a>, <a class="code" href="group__datetime.html#ggaff46c5ae9385d20709bedade86edd368a013e092c359f6031cc0563fd413ce707">ModifiedFollowing</a>, <a class="code" href="class_quant_lib_1_1_thirty360.html" title="30/360 day count convention">Thirty360</a>(),</div>
<div class="line"> euribor6m);</div>
<div class="line"> ext::shared_ptr<SwapRateHelper> sw12y = ext::make_shared<SwapRateHelper>(</div>
<div class="line"> 0.03231, 12 * Years, <a class="code" href="class_quant_lib_1_1_weekends_only.html" title="Weekends-only calendar.">WeekendsOnly</a>(), <a class="code" href="group__datetime.html#gga6d41db8ba0ea90d22df35889df452adaa508b18014c96e2d466c12b39d7f4e426" title="once a year">Annual</a>, <a class="code" href="group__datetime.html#ggaff46c5ae9385d20709bedade86edd368a013e092c359f6031cc0563fd413ce707">ModifiedFollowing</a>, <a class="code" href="class_quant_lib_1_1_thirty360.html" title="30/360 day count convention">Thirty360</a>(),</div>
<div class="line"> euribor6m);</div>
<div class="line"> ext::shared_ptr<SwapRateHelper> sw15y = ext::make_shared<SwapRateHelper>(</div>
<div class="line"> 0.03367, 15 * Years, <a class="code" href="class_quant_lib_1_1_weekends_only.html" title="Weekends-only calendar.">WeekendsOnly</a>(), <a class="code" href="group__datetime.html#gga6d41db8ba0ea90d22df35889df452adaa508b18014c96e2d466c12b39d7f4e426" title="once a year">Annual</a>, <a class="code" href="group__datetime.html#ggaff46c5ae9385d20709bedade86edd368a013e092c359f6031cc0563fd413ce707">ModifiedFollowing</a>, <a class="code" href="class_quant_lib_1_1_thirty360.html" title="30/360 day count convention">Thirty360</a>(),</div>
<div class="line"> euribor6m);</div>
<div class="line"> ext::shared_ptr<SwapRateHelper> sw20y = ext::make_shared<SwapRateHelper>(</div>
<div class="line"> 0.03419, 20 * Years, <a class="code" href="class_quant_lib_1_1_weekends_only.html" title="Weekends-only calendar.">WeekendsOnly</a>(), <a class="code" href="group__datetime.html#gga6d41db8ba0ea90d22df35889df452adaa508b18014c96e2d466c12b39d7f4e426" title="once a year">Annual</a>, <a class="code" href="group__datetime.html#ggaff46c5ae9385d20709bedade86edd368a013e092c359f6031cc0563fd413ce707">ModifiedFollowing</a>, <a class="code" href="class_quant_lib_1_1_thirty360.html" title="30/360 day count convention">Thirty360</a>(),</div>
<div class="line"> euribor6m);</div>
<div class="line"> ext::shared_ptr<SwapRateHelper> sw25y = ext::make_shared<SwapRateHelper>(</div>
<div class="line"> 0.03411, 25 * Years, <a class="code" href="class_quant_lib_1_1_weekends_only.html" title="Weekends-only calendar.">WeekendsOnly</a>(), <a class="code" href="group__datetime.html#gga6d41db8ba0ea90d22df35889df452adaa508b18014c96e2d466c12b39d7f4e426" title="once a year">Annual</a>, <a class="code" href="group__datetime.html#ggaff46c5ae9385d20709bedade86edd368a013e092c359f6031cc0563fd413ce707">ModifiedFollowing</a>, <a class="code" href="class_quant_lib_1_1_thirty360.html" title="30/360 day count convention">Thirty360</a>(),</div>
<div class="line"> euribor6m);</div>
<div class="line"> ext::shared_ptr<SwapRateHelper> sw30y = ext::make_shared<SwapRateHelper>(</div>
<div class="line"> 0.03412, 30 * Years, <a class="code" href="class_quant_lib_1_1_weekends_only.html" title="Weekends-only calendar.">WeekendsOnly</a>(), <a class="code" href="group__datetime.html#gga6d41db8ba0ea90d22df35889df452adaa508b18014c96e2d466c12b39d7f4e426" title="once a year">Annual</a>, <a class="code" href="group__datetime.html#ggaff46c5ae9385d20709bedade86edd368a013e092c359f6031cc0563fd413ce707">ModifiedFollowing</a>, <a class="code" href="class_quant_lib_1_1_thirty360.html" title="30/360 day count convention">Thirty360</a>(),</div>
<div class="line"> euribor6m);</div>
<div class="line"> </div>
<div class="line"> std::vector<ext::shared_ptr<RateHelper> > isdaYieldHelpers;</div>
<div class="line"> </div>
<div class="line"> isdaYieldHelpers.push_back(dp1m);</div>
<div class="line"> isdaYieldHelpers.push_back(dp2m);</div>
<div class="line"> isdaYieldHelpers.push_back(dp3m);</div>
<div class="line"> isdaYieldHelpers.push_back(dp6m);</div>
<div class="line"> isdaYieldHelpers.push_back(dp9m);</div>
<div class="line"> isdaYieldHelpers.push_back(dp1y);</div>
<div class="line"> isdaYieldHelpers.push_back(sw2y);</div>
<div class="line"> isdaYieldHelpers.push_back(sw3y);</div>
<div class="line"> isdaYieldHelpers.push_back(sw4y);</div>
<div class="line"> isdaYieldHelpers.push_back(sw5y);</div>
<div class="line"> isdaYieldHelpers.push_back(sw6y);</div>
<div class="line"> isdaYieldHelpers.push_back(sw7y);</div>
<div class="line"> isdaYieldHelpers.push_back(sw8y);</div>
<div class="line"> isdaYieldHelpers.push_back(sw9y);</div>
<div class="line"> isdaYieldHelpers.push_back(sw10y);</div>
<div class="line"> isdaYieldHelpers.push_back(sw11y);</div>
<div class="line"> isdaYieldHelpers.push_back(sw12y);</div>
<div class="line"> isdaYieldHelpers.push_back(sw15y);</div>
<div class="line"> isdaYieldHelpers.push_back(sw20y);</div>
<div class="line"> isdaYieldHelpers.push_back(sw25y);</div>
<div class="line"> isdaYieldHelpers.push_back(sw30y);</div>
<div class="line"> </div>
<div class="line"> <span class="comment">// build yield curve</span></div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_handle.html">Handle<YieldTermStructure></a> isdaYts = <a class="code" href="class_quant_lib_1_1_handle.html">Handle<YieldTermStructure></a>(</div>
<div class="line"> ext::make_shared<<a class="code" href="class_quant_lib_1_1_piecewise_yield_curve.html" title="Piecewise yield term structure.">PiecewiseYieldCurve<Discount, LogLinear></a> >(</div>
<div class="line"> 0, <a class="code" href="class_quant_lib_1_1_weekends_only.html" title="Weekends-only calendar.">WeekendsOnly</a>(), isdaYieldHelpers, <a class="code" href="class_quant_lib_1_1_actual365_fixed.html" title="Actual/365 (Fixed) day count convention.">Actual365Fixed</a>()));</div>
<div class="line"> isdaYts->enableExtrapolation();</div>
<div class="line"> </div>
<div class="line"> </div>
<div class="line"> CreditDefaultSwap::PricingModel model = CreditDefaultSwap::ISDA;</div>
<div class="line"> ext::shared_ptr<CdsHelper> cds6m(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_spread_cds_helper.html" title="Spread-quoted CDS hazard rate bootstrap helper.">SpreadCdsHelper</a>(</div>
<div class="line"> 0.007927, 6 * Months, 1, <a class="code" href="class_quant_lib_1_1_weekends_only.html" title="Weekends-only calendar.">WeekendsOnly</a>(), <a class="code" href="group__datetime.html#gga6d41db8ba0ea90d22df35889df452adaab4fce358383d1822f7596659e00b07f7" title="every third month">Quarterly</a>, <a class="code" href="group__datetime.html#ggaff46c5ae9385d20709bedade86edd368ab6a37af780aa2b97f8bbdc4d149dae18">Following</a>,</div>
<div class="line"> DateGeneration::CDS, <a class="code" href="class_quant_lib_1_1_actual360.html" title="Actual/360 day count convention.">Actual360</a>(), 0.4, isdaYts, <span class="keyword">true</span>, <span class="keyword">true</span>, <a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a>(),</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_actual360.html" title="Actual/360 day count convention.">Actual360</a>(<span class="keyword">true</span>), <span class="keyword">true</span>, model));</div>
<div class="line"> ext::shared_ptr<CdsHelper> cds1y(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_spread_cds_helper.html" title="Spread-quoted CDS hazard rate bootstrap helper.">SpreadCdsHelper</a>(</div>
<div class="line"> 0.007927, 1 * Years, 1, <a class="code" href="class_quant_lib_1_1_weekends_only.html" title="Weekends-only calendar.">WeekendsOnly</a>(), <a class="code" href="group__datetime.html#gga6d41db8ba0ea90d22df35889df452adaab4fce358383d1822f7596659e00b07f7" title="every third month">Quarterly</a>, <a class="code" href="group__datetime.html#ggaff46c5ae9385d20709bedade86edd368ab6a37af780aa2b97f8bbdc4d149dae18">Following</a>,</div>
<div class="line"> DateGeneration::CDS, <a class="code" href="class_quant_lib_1_1_actual360.html" title="Actual/360 day count convention.">Actual360</a>(), 0.4, isdaYts, <span class="keyword">true</span>, <span class="keyword">true</span>, <a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a>(),</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_actual360.html" title="Actual/360 day count convention.">Actual360</a>(<span class="keyword">true</span>), <span class="keyword">true</span>, model));</div>
<div class="line"> ext::shared_ptr<CdsHelper> cds3y(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_spread_cds_helper.html" title="Spread-quoted CDS hazard rate bootstrap helper.">SpreadCdsHelper</a>(</div>
<div class="line"> 0.012239, 3 * Years, 1, <a class="code" href="class_quant_lib_1_1_weekends_only.html" title="Weekends-only calendar.">WeekendsOnly</a>(), <a class="code" href="group__datetime.html#gga6d41db8ba0ea90d22df35889df452adaab4fce358383d1822f7596659e00b07f7" title="every third month">Quarterly</a>, <a class="code" href="group__datetime.html#ggaff46c5ae9385d20709bedade86edd368ab6a37af780aa2b97f8bbdc4d149dae18">Following</a>,</div>
<div class="line"> DateGeneration::CDS, <a class="code" href="class_quant_lib_1_1_actual360.html" title="Actual/360 day count convention.">Actual360</a>(), 0.4, isdaYts, <span class="keyword">true</span>, <span class="keyword">true</span>, <a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a>(),</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_actual360.html" title="Actual/360 day count convention.">Actual360</a>(<span class="keyword">true</span>), <span class="keyword">true</span>, model));</div>
<div class="line"> ext::shared_ptr<CdsHelper> cds5y(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_spread_cds_helper.html" title="Spread-quoted CDS hazard rate bootstrap helper.">SpreadCdsHelper</a>(</div>
<div class="line"> 0.016979, 5 * Years, 1, <a class="code" href="class_quant_lib_1_1_weekends_only.html" title="Weekends-only calendar.">WeekendsOnly</a>(), <a class="code" href="group__datetime.html#gga6d41db8ba0ea90d22df35889df452adaab4fce358383d1822f7596659e00b07f7" title="every third month">Quarterly</a>, <a class="code" href="group__datetime.html#ggaff46c5ae9385d20709bedade86edd368ab6a37af780aa2b97f8bbdc4d149dae18">Following</a>,</div>
<div class="line"> DateGeneration::CDS, <a class="code" href="class_quant_lib_1_1_actual360.html" title="Actual/360 day count convention.">Actual360</a>(), 0.4, isdaYts, <span class="keyword">true</span>, <span class="keyword">true</span>, <a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a>(),</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_actual360.html" title="Actual/360 day count convention.">Actual360</a>(<span class="keyword">true</span>), <span class="keyword">true</span>, model));</div>
<div class="line"> ext::shared_ptr<CdsHelper> cds7y(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_spread_cds_helper.html" title="Spread-quoted CDS hazard rate bootstrap helper.">SpreadCdsHelper</a>(</div>
<div class="line"> 0.019271, 7 * Years, 1, <a class="code" href="class_quant_lib_1_1_weekends_only.html" title="Weekends-only calendar.">WeekendsOnly</a>(), <a class="code" href="group__datetime.html#gga6d41db8ba0ea90d22df35889df452adaab4fce358383d1822f7596659e00b07f7" title="every third month">Quarterly</a>, <a class="code" href="group__datetime.html#ggaff46c5ae9385d20709bedade86edd368ab6a37af780aa2b97f8bbdc4d149dae18">Following</a>,</div>
<div class="line"> DateGeneration::CDS, <a class="code" href="class_quant_lib_1_1_actual360.html" title="Actual/360 day count convention.">Actual360</a>(), 0.4, isdaYts, <span class="keyword">true</span>, <span class="keyword">true</span>, <a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a>(),</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_actual360.html" title="Actual/360 day count convention.">Actual360</a>(<span class="keyword">true</span>), <span class="keyword">true</span>, model));</div>
<div class="line"> ext::shared_ptr<CdsHelper> cds10y(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_spread_cds_helper.html" title="Spread-quoted CDS hazard rate bootstrap helper.">SpreadCdsHelper</a>(</div>
<div class="line"> 0.020860, 10 * Years, 1, <a class="code" href="class_quant_lib_1_1_weekends_only.html" title="Weekends-only calendar.">WeekendsOnly</a>(), <a class="code" href="group__datetime.html#gga6d41db8ba0ea90d22df35889df452adaab4fce358383d1822f7596659e00b07f7" title="every third month">Quarterly</a>, <a class="code" href="group__datetime.html#ggaff46c5ae9385d20709bedade86edd368ab6a37af780aa2b97f8bbdc4d149dae18">Following</a>,</div>
<div class="line"> DateGeneration::CDS, <a class="code" href="class_quant_lib_1_1_actual360.html" title="Actual/360 day count convention.">Actual360</a>(), 0.4, isdaYts, <span class="keyword">true</span>, <span class="keyword">true</span>, <a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a>(),</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_actual360.html" title="Actual/360 day count convention.">Actual360</a>(<span class="keyword">true</span>), <span class="keyword">true</span>, model));</div>
<div class="line"> </div>
<div class="line"> std::vector<ext::shared_ptr<DefaultProbabilityHelper> > isdaCdsHelpers;</div>
<div class="line"> </div>
<div class="line"> isdaCdsHelpers.push_back(cds6m);</div>
<div class="line"> isdaCdsHelpers.push_back(cds1y);</div>
<div class="line"> isdaCdsHelpers.push_back(cds3y);</div>
<div class="line"> isdaCdsHelpers.push_back(cds5y);</div>
<div class="line"> isdaCdsHelpers.push_back(cds7y);</div>
<div class="line"> isdaCdsHelpers.push_back(cds10y);</div>
<div class="line"> </div>
<div class="line"> <span class="comment">// build credit curve</span></div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<DefaultProbabilityTermStructure></a> isdaCts =</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<DefaultProbabilityTermStructure></a>(ext::make_shared<</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_piecewise_default_curve.html" title="Piecewise default-probability term structure.">PiecewiseDefaultCurve<SurvivalProbability, LogLinear></a> >(</div>
<div class="line"> 0, <a class="code" href="class_quant_lib_1_1_weekends_only.html" title="Weekends-only calendar.">WeekendsOnly</a>(), isdaCdsHelpers, <a class="code" href="class_quant_lib_1_1_actual365_fixed.html" title="Actual/365 (Fixed) day count convention.">Actual365Fixed</a>()));</div>
<div class="line"> </div>
<div class="line"> <span class="comment">// set up isda engine</span></div>
<div class="line"> ext::shared_ptr<IsdaCdsEngine> isdaPricer =</div>
<div class="line"> ext::make_shared<IsdaCdsEngine>(</div>
<div class="line"> isdaCts, 0.4, isdaYts);</div>
<div class="line"> </div>
<div class="line"> <span class="comment">// check the curves</span></div>
<div class="line"> std::cout << <span class="stringliteral">"ISDA yield curve:"</span> << std::endl;</div>
<div class="line"> std::cout << <span class="stringliteral">"date;time;zeroyield"</span> << std::endl;</div>
<div class="line"> <span class="keywordflow">for</span> (<a class="code" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> i = 0; i < isdaYieldHelpers.size(); i++) {</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a> d = isdaYieldHelpers[i]->latestDate();</div>
<div class="line"> <a class="code" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78" title="real number">Real</a> t = isdaYts->timeFromReference(d);</div>
<div class="line"> std::cout << d << <span class="stringliteral">";"</span> << t << <span class="stringliteral">";"</span></div>
<div class="line"> << isdaYts->zeroRate(d, <a class="code" href="class_quant_lib_1_1_actual365_fixed.html" title="Actual/365 (Fixed) day count convention.">Actual365Fixed</a>(), Continuous).rate()</div>
<div class="line"> << std::endl;</div>
<div class="line"> }</div>
<div class="line"> </div>
<div class="line"> std::cout << <span class="stringliteral">"ISDA credit curve:"</span> << std::endl;</div>
<div class="line"> std::cout << <span class="stringliteral">"date;time;survivalprob"</span> << std::endl;</div>
<div class="line"> <span class="keywordflow">for</span> (<a class="code" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> i = 0; i < isdaCdsHelpers.size(); i++) {</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a> d = isdaCdsHelpers[i]->latestDate();</div>
<div class="line"> <a class="code" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78" title="real number">Real</a> t = isdaCts->timeFromReference(d);</div>
<div class="line"> std::cout << d << <span class="stringliteral">";"</span> << t << <span class="stringliteral">";"</span> << isdaCts->survivalProbability(d)</div>
<div class="line"> << std::endl;</div>
<div class="line"> }</div>
<div class="line">}</div>
<div class="line"> </div>
<div class="line"> </div>
<div class="line"><span class="keywordtype">int</span> main(<span class="keywordtype">int</span> argc, <span class="keywordtype">char</span> *argv[]) {</div>
<div class="line"> </div>
<div class="line"> <span class="keywordflow">try</span> {</div>
<div class="line"> <a class="code" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> example = 0;</div>
<div class="line"> <span class="keywordflow">if</span> (argc == 2)</div>
<div class="line"> example = std::atoi(argv[1]);</div>
<div class="line"> </div>
<div class="line"> <span class="keywordflow">if</span> (example == 0 || example == 1) {</div>
<div class="line"> std::cout << <span class="stringliteral">"***** Running example #1 *****"</span> << std::endl;</div>
<div class="line"> example01();</div>
<div class="line"> }</div>
<div class="line"> </div>
<div class="line"> <span class="keywordflow">if</span> (example == 0 || example == 2) {</div>
<div class="line"> std::cout << <span class="stringliteral">"***** Running example #2 *****"</span> << std::endl;</div>
<div class="line"> example02();</div>
<div class="line"> }</div>
<div class="line"> </div>
<div class="line"> <span class="keywordflow">if</span> (example == 0 || example == 3) {</div>
<div class="line"> std::cout << <span class="stringliteral">"***** Running example #3 *****"</span> << std::endl;</div>
<div class="line"> example03();</div>
<div class="line"> }</div>
<div class="line"> </div>
<div class="line"> <span class="keywordflow">return</span> 0;</div>
<div class="line"> }</div>
<div class="line"> <span class="keywordflow">catch</span> (exception &e) {</div>
<div class="line"> cerr << e.what() << endl;</div>
<div class="line"> <span class="keywordflow">return</span> 1;</div>
<div class="line"> }</div>
<div class="line"> <span class="keywordflow">catch</span> (...) {</div>
<div class="line"> cerr << <span class="stringliteral">"unknown error"</span> << endl;</div>
<div class="line"> <span class="keywordflow">return</span> 1;</div>
<div class="line"> }</div>
<div class="line">}</div>
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