MakeCreditDefaultSwap Class Reference

helper class More...

#include <qle/instruments/makecds.hpp>

Collaboration diagram for MakeCreditDefaultSwap:

Public Member Functions
	MakeCreditDefaultSwap (const Period &tenor, const Real couponRate)
	MakeCreditDefaultSwap (const Date &termDate, const Real couponRate)
	operator CreditDefaultSwap () const
	operator QuantLib::ext::shared_ptr< CreditDefaultSwap > () const
MakeCreditDefaultSwap &	withUpfrontRate (Real)
MakeCreditDefaultSwap &	withSide (Protection::Side)
MakeCreditDefaultSwap &	withNominal (Real)
MakeCreditDefaultSwap &	withCouponTenor (Period)
MakeCreditDefaultSwap &	withDayCounter (const DayCounter &)
MakeCreditDefaultSwap &	withLastPeriodDayCounter (const DayCounter &)
MakeCreditDefaultSwap &	withDateGenerationRule (DateGeneration::Rule rule)
MakeCreditDefaultSwap &	withCashSettlementDays (Natural cashSettlementDays)
MakeCreditDefaultSwap &	withPricingEngine (const QuantLib::ext::shared_ptr< PricingEngine > &)
MakeCreditDefaultSwap &	withSettlesAccrual (bool)
MakeCreditDefaultSwap &	withPaysAtDefaultTime (bool)
MakeCreditDefaultSwap &	withRebatesAccrual (bool)

Private Attributes
Protection::Side	side_
Real	nominal_
boost::optional< Period >	tenor_
boost::optional< Date >	termDate_
Period	couponTenor_
Real	couponRate_
Real	upfrontRate_
DayCounter	dayCounter_
DayCounter	lastPeriodDayCounter_
DateGeneration::Rule	rule_
Natural	cashSettlementDays_
bool	settlesAccrual_
bool	paysAtDefaultTime_
bool	rebatesAccrual_
QuantLib::ext::shared_ptr< PricingEngine >	engine_

Detailed Description

helper class

This class provides a more comfortable way to instantiate standard cds.

Bug:

support last period dc

Definition at line 57 of file makecds.hpp.

Constructor & Destructor Documentation

MakeCreditDefaultSwap() [1/2]

MakeCreditDefaultSwap	(	const Period &	tenor,
		const Real	couponRate
	)

Definition at line 45 of file makecds.cpp.

    : side_(Protection::Buyer), nominal_(1.0), tenor_(tenor), termDate_(boost::none), couponTenor_(3 * Months),
      couponRate_(couponRate), upfrontRate_(0.0),
      dayCounter_(Actual360()), lastPeriodDayCounter_(Actual360(true)),
      rule_(DateGeneration::CDS2015), cashSettlementDays_(3), settlesAccrual_(true),
      paysAtDefaultTime_(true), rebatesAccrual_(true) {}

MakeCreditDefaultSwap() [2/2]

MakeCreditDefaultSwap	(	const Date &	termDate,
		const Real	couponRate
	)

Definition at line 52 of file makecds.cpp.

    : side_(Protection::Buyer), nominal_(1.0), tenor_(boost::none), termDate_(termDate), couponTenor_(3 * Months),
      couponRate_(couponRate), upfrontRate_(0.0),
      dayCounter_(Actual360()), lastPeriodDayCounter_(Actual360(true)),
      rule_(DateGeneration::CDS2015), cashSettlementDays_(3), settlesAccrual_(true),
      paysAtDefaultTime_(true), rebatesAccrual_(true) {}

Member Function Documentation

operator CreditDefaultSwap()

operator CreditDefaultSwap

(

)

const

Definition at line 59 of file makecds.cpp.

                                                        {
    QuantLib::ext::shared_ptr<CreditDefaultSwap> swap = *this;
    return *swap;
}

operator QuantLib::ext::shared_ptr< CreditDefaultSwap >()

operator QuantLib::ext::shared_ptr< CreditDefaultSwap >

(

)

const

withUpfrontRate()

MakeCreditDefaultSwap & withUpfrontRate

(

Real

upfrontRate

)

Definition at line 101 of file makecds.cpp.

                                                                              {
    upfrontRate_ = upfrontRate;
    return *this;
}

withSide()

MakeCreditDefaultSwap & withSide

(

Protection::Side

side

)

Definition at line 106 of file makecds.cpp.

                                                                          {
    side_ = side;
    return *this;
}

withNominal()

MakeCreditDefaultSwap & withNominal

(

Real

nominal

)

Definition at line 111 of file makecds.cpp.

                                                                      {
    nominal_ = nominal;
    return *this;
}

withCouponTenor()

MakeCreditDefaultSwap & withCouponTenor

(

Period

couponTenor

)

Definition at line 116 of file makecds.cpp.

                                                                                {
    couponTenor_ = couponTenor;
    return *this;
}

withDayCounter()

MakeCreditDefaultSwap & withDayCounter

(

const DayCounter &

dayCounter

)

Definition at line 121 of file makecds.cpp.

                                                                                         {
    dayCounter_ = dayCounter;
    return *this;
}

withLastPeriodDayCounter()

MakeCreditDefaultSwap & withLastPeriodDayCounter

(

const DayCounter &

lastPeriodDayCounter

)

Definition at line 126 of file makecds.cpp.

                                                                                                             {
    lastPeriodDayCounter_ = lastPeriodDayCounter;
    return *this;
}

withDateGenerationRule()

MakeCreditDefaultSwap & withDateGenerationRule

(

DateGeneration::Rule

rule

)

Definition at line 131 of file makecds.cpp.

                                                                                            {
    rule_ = rule;
    return *this;
}

withCashSettlementDays()

MakeCreditDefaultSwap & withCashSettlementDays

(

Natural

cashSettlementDays

)

Definition at line 136 of file makecds.cpp.

                                                                                               {
    cashSettlementDays_ = cashSettlementDays;
    return *this;
}

withPricingEngine()

MakeCreditDefaultSwap & withPricingEngine

(

const QuantLib::ext::shared_ptr< PricingEngine > &

engine

)

Definition at line 141 of file makecds.cpp.

                                                                                                                  {
    engine_ = engine;
    return *this;
}

withSettlesAccrual()

MakeCreditDefaultSwap & withSettlesAccrual

(

bool

settlesAccrual

)

Definition at line 146 of file makecds.cpp.

                                                                                    {
    settlesAccrual_ = settlesAccrual;
    return *this;
}

withPaysAtDefaultTime()

MakeCreditDefaultSwap & withPaysAtDefaultTime

(

bool

paysAtDefaultTime

)

Definition at line 151 of file makecds.cpp.

                                                                                          {
    paysAtDefaultTime_ = paysAtDefaultTime;
    return *this;
}

withRebatesAccrual()

MakeCreditDefaultSwap & withRebatesAccrual

(

bool

rebatesAccrual

)

Definition at line 156 of file makecds.cpp.

                                                                                    {
    rebatesAccrual_ = rebatesAccrual;
    return *this;
}

Member Data Documentation

side_

Protection::Side side_

private

Definition at line 79 of file makecds.hpp.

nominal_

Real nominal_

private

Definition at line 80 of file makecds.hpp.

tenor_

boost::optional<Period> tenor_

private

Definition at line 81 of file makecds.hpp.

termDate_

boost::optional<Date> termDate_

private

Definition at line 82 of file makecds.hpp.

couponTenor_

Period couponTenor_

private

Definition at line 83 of file makecds.hpp.

couponRate_

Real couponRate_

private

Definition at line 84 of file makecds.hpp.

upfrontRate_

Real upfrontRate_

private

Definition at line 85 of file makecds.hpp.

dayCounter_

DayCounter dayCounter_

private

Definition at line 86 of file makecds.hpp.

lastPeriodDayCounter_

DayCounter lastPeriodDayCounter_

private

Definition at line 87 of file makecds.hpp.

rule_

DateGeneration::Rule rule_

private

Definition at line 88 of file makecds.hpp.

cashSettlementDays_

Natural cashSettlementDays_

private

Definition at line 89 of file makecds.hpp.

settlesAccrual_

bool settlesAccrual_

private

Definition at line 90 of file makecds.hpp.

paysAtDefaultTime_

bool paysAtDefaultTime_

private

Definition at line 91 of file makecds.hpp.

rebatesAccrual_

bool rebatesAccrual_

private

Definition at line 92 of file makecds.hpp.

engine_

QuantLib::ext::shared_ptr<PricingEngine> engine_

private

Definition at line 93 of file makecds.hpp.