- QuantLib
- CdsHelper
#include <ql/termstructures/credit/defaultprobabilityhelpers.hpp>

Public Member Functions | |
| CdsHelper (const Handle< Quote > "e, const Period &tenor, Integer settlementDays, const Calendar &calendar, Frequency frequency, BusinessDayConvention paymentConvention, DateGeneration::Rule rule, const DayCounter &dayCounter, Real recoveryRate, const Handle< YieldTermStructure > &discountCurve, bool settlesAccrual=true, bool paysAtDefaultTime=true) | |
| CdsHelper (Rate quote, const Period &tenor, Integer settlementDays, const Calendar &calendar, Frequency frequency, BusinessDayConvention paymentConvention, DateGeneration::Rule rule, const DayCounter &dayCounter, Real recoveryRate, const Handle< YieldTermStructure > &discountCurve, bool settlesAccrual=true, bool paysAtDefaultTime=true) | |
| void | setTermStructure (DefaultProbabilityTermStructure *) |
Protected Member Functions | |
| void | update () |
| void | initializeDates () |
| virtual void | resetEngine ()=0 |
Protected Attributes | |
| Period | tenor_ |
| Integer | settlementDays_ |
| Calendar | calendar_ |
| Frequency | frequency_ |
| BusinessDayConvention | paymentConvention_ |
| DateGeneration::Rule | rule_ |
| DayCounter | dayCounter_ |
| Real | recoveryRate_ |
| Handle< YieldTermStructure > | discountCurve_ |
| bool | settlesAccrual_ |
| bool | paysAtDefaultTime_ |
| Schedule | schedule_ |
|
boost::shared_ptr < CreditDefaultSwap > | swap_ |
|
RelinkableHandle < DefaultProbabilityTermStructure > | probability_ |
| Date | protectionStart_ |
| protection effective date. | |
Base default-probability bootstrap helper
| tenor | CDS tenor. |
| frequency | Coupon frequency. |
| settlementDays | The number of days from today's date to the start of the protection period. |
| paymentConvention | The payment convention applied to coupons schedules, settlement dates and protection period calculations. |
| void update | ( | ) | [protected, virtual] |
This method must be implemented in derived classes. An instance of Observer does not call this method directly: instead, it will be called by the observables the instance registered with when they need to notify any changes.
Reimplemented from RelativeDateBootstrapHelper< TS >.