Base class for CDS helpers. More...

#include <defaultprobabilityhelpers.hpp>

Inheritance diagram for CdsHelper:

Collaboration diagram for CdsHelper:

Public Member Functions
	CdsHelper (const Handle< Quote > &quote, const Period &tenor, Integer settlementDays, Calendar calendar, Frequency frequency, BusinessDayConvention paymentConvention, DateGeneration::Rule rule, DayCounter dayCounter, Real recoveryRate, const Handle< YieldTermStructure > &discountCurve, bool settlesAccrual=true, bool paysAtDefaultTime=true, const Date &startDate=Date(), DayCounter lastPeriodDayCounter=DayCounter(), bool rebatesAccrual=true, CreditDefaultSwap::PricingModel model=CreditDefaultSwap::Midpoint)

	CdsHelper (Rate quote, const Period &tenor, Integer settlementDays, Calendar calendar, Frequency frequency, BusinessDayConvention paymentConvention, DateGeneration::Rule rule, DayCounter dayCounter, Real recoveryRate, const Handle< YieldTermStructure > &discountCurve, bool settlesAccrual=true, bool paysAtDefaultTime=true, const Date &startDate=Date(), DayCounter lastPeriodDayCounter=DayCounter(), bool rebatesAccrual=true, CreditDefaultSwap::PricingModel model=CreditDefaultSwap::Midpoint)

void	setTermStructure (DefaultProbabilityTermStructure *) override

ext::shared_ptr< CreditDefaultSwap >	swap () const

void	update () override

Public Member Functions inherited from RelativeDateBootstrapHelper< TS >
	RelativeDateBootstrapHelper (const Handle< Quote > &quote)

	RelativeDateBootstrapHelper (Real quote)

Public Member Functions inherited from BootstrapHelper< TS >
	BootstrapHelper (Handle< Quote > quote)

	BootstrapHelper (Real quote)

	~BootstrapHelper () override=default

const Handle< Quote > &	quote () const

virtual Real	impliedQuote () const =0

Real	quoteError () const

virtual void	setTermStructure (TS *)
	sets the term structure to be used for pricing More...

virtual Date	earliestDate () const
	earliest relevant date More...

virtual Date	maturityDate () const
	instrument's maturity date More...

virtual Date	latestRelevantDate () const
	latest relevant date More...

virtual Date	pillarDate () const
	pillar date More...

virtual Date	latestDate () const
	latest date More...

virtual void	accept (AcyclicVisitor &)

Public Member Functions inherited from Observer
	Observer ()=default

	Observer (const Observer &)

Observer &	operator= (const Observer &)

virtual	~Observer ()

std::pair< iterator, bool >	registerWith (const ext::shared_ptr< Observable > &)

void	registerWithObservables (const ext::shared_ptr< Observer > &)

Size	unregisterWith (const ext::shared_ptr< Observable > &)

void	unregisterWithAll ()

virtual void	update ()=0

virtual void	deepUpdate ()

Public Member Functions inherited from Observable
	Observable ()

	Observable (const Observable &)

Observable &	operator= (const Observable &)

	Observable (Observable &&)=delete

Observable &	operator= (Observable &&)=delete

virtual	~Observable ()=default

void	notifyObservers ()

Protected Member Functions
void	initializeDates () override

virtual void	resetEngine ()=0

Protected Member Functions inherited from RelativeDateBootstrapHelper< TS >

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_

DayCounter	lastPeriodDC_

bool	rebatesAccrual_

CreditDefaultSwap::PricingModel	model_

Schedule	schedule_

ext::shared_ptr< CreditDefaultSwap >	swap_

RelinkableHandle< DefaultProbabilityTermStructure >	probability_

Date	protectionStart_
	protection effective date. More...

Date	startDate_

Protected Attributes inherited from RelativeDateBootstrapHelper< TS >
Date	evaluationDate_

Protected Attributes inherited from BootstrapHelper< TS >
Handle< Quote >	quote_

TS *	termStructure_

Date	earliestDate_

Date	latestDate_

Date	maturityDate_

Date	latestRelevantDate_

Date	pillarDate_

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator

Detailed Description

Base class for CDS helpers.

Definition at line 48 of file defaultprobabilityhelpers.hpp.

Constructor & Destructor Documentation

◆ CdsHelper() [1/2]

CdsHelper	(	const Handle< Quote > &	quote,
		const Period &	tenor,
		Integer	settlementDays,
		Calendar	calendar,
		Frequency	frequency,
		BusinessDayConvention	paymentConvention,
		DateGeneration::Rule	rule,
		DayCounter	dayCounter,
		Real	recoveryRate,
		const Handle< YieldTermStructure > &	discountCurve,
		bool	settlesAccrual = `true`,
		bool	paysAtDefaultTime = `true`,
		const Date &	startDate = `Date()`,
		DayCounter	lastPeriodDayCounter = `DayCounter()`,
		bool	rebatesAccrual = `true`,
		CreditDefaultSwap::PricingModel	model = `CreditDefaultSwap::Midpoint`
	)

Constructor taking CDS market quote

Parameters

quote	The helper's market quote.
tenor	CDS tenor.
settlementDays	The number of days from evaluation date to the start of the protection period. Prior to the CDS Big Bang in 2009, this was typically 1 calendar day. After the CDS Big Bang, this is typically 0 calendar days i.e. protection starts immediately.
calendar	CDS calendar. Typically weekends only for standard non-JPY CDS and TYO for JPY.
frequency	Coupon frequency. Typically 3 months for standard CDS.
paymentConvention	The convention applied to coupons schedules and settlement dates.
rule	The date generation rule for generating the CDS schedule. Typically, for CDS prior to the Big Bang, `OldCDS` should be used. After the Big Bang, `CDS` was typical and since 2015 `CDS2015` is standard.
dayCounter	The day counter for CDS fee leg coupons. Typically it is Actual/360, excluding accrual end, for all but the final coupon period with Actual/360, including accrual end, for the final coupon. The `lastPeriodDayCounter` below allows for this distinction.
recoveryRate	The recovery rate of the underlying reference entity.
discountCurve	A handle to the relevant discount curve.
settlesAccrual	Set to `true` if accrued fee is paid on the occurrence of a credit event and set to `false` if it is not. Typically this is `true`.
paysAtDefaultTime	Set to `true` if default payment is made at time of credit event or postponed to the end of the coupon period. Typically this is `true`.
startDate	Used to specify an explicit start date for the CDS schedule and the date from which the CDS maturity is calculated via the `tenor`. Useful for off-the-run index schedules.
lastPeriodDayCounter	The day counter for the last fee leg coupon. See comment on `dayCounter`.
rebatesAccrual	Set to `true` if the fee leg accrual is rebated on the cash settlement date. For CDS after the Big Bang, this is typically `true`.
model	The pricing model to use for the helper.

Definition at line 32 of file defaultprobabilityhelpers.cpp.

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◆ CdsHelper() [2/2]

CdsHelper	(	Rate	quote,
		const Period &	tenor,
		Integer	settlementDays,
		Calendar	calendar,
		Frequency	frequency,
		BusinessDayConvention	paymentConvention,
		DateGeneration::Rule	rule,
		DayCounter	dayCounter,
		Real	recoveryRate,
		const Handle< YieldTermStructure > &	discountCurve,
		bool	settlesAccrual = `true`,
		bool	paysAtDefaultTime = `true`,
		const Date &	startDate = `Date()`,
		DayCounter	lastPeriodDayCounter = `DayCounter()`,
		bool	rebatesAccrual = `true`,
		CreditDefaultSwap::PricingModel	model = `CreditDefaultSwap::Midpoint`
	)

Constructor taking CDS market quote

Parameters

quote	The helper's market quote.
tenor	CDS tenor.
settlementDays	The number of days from evaluation date to the start of the protection period. Prior to the CDS Big Bang in 2009, this was typically 1 calendar day. After the CDS Big Bang, this is typically 0 calendar days i.e. protection starts immediately.
calendar	CDS calendar. Typically weekends only for standard non-JPY CDS and TYO for JPY.
frequency	Coupon frequency. Typically 3 months for standard CDS.
paymentConvention	The convention applied to coupons schedules and settlement dates.
rule	The date generation rule for generating the CDS schedule. Typically, for CDS prior to the Big Bang, `OldCDS` should be used. After the Big Bang, `CDS` was typical and since 2015 `CDS2015` is standard.
dayCounter	The day counter for CDS fee leg coupons. Typically it is Actual/360, excluding accrual end, for all but the final coupon period with Actual/360, including accrual end, for the final coupon. The `lastPeriodDayCounter` below allows for this distinction.
recoveryRate	The recovery rate of the underlying reference entity.
discountCurve	A handle to the relevant discount curve.
settlesAccrual	Set to `true` if accrued fee is paid on the occurrence of a credit event and set to `false` if it is not. Typically this is `true`.
paysAtDefaultTime	Set to `true` if default payment is made at time of credit event or postponed to the end of the coupon period. Typically this is `true`.
startDate	Used to specify an explicit start date for the CDS schedule and the date from which the CDS maturity is calculated via the `tenor`. Useful for off-the-run index schedules.
lastPeriodDayCounter	The day counter for the last fee leg coupon. See comment on `dayCounter`.
rebatesAccrual	Set to `true` if the fee leg accrual is rebated on the cash settlement date. For CDS after the Big Bang, this is typically `true`.
model	The pricing model to use for the helper.

Definition at line 60 of file defaultprobabilityhelpers.cpp.

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Member Function Documentation

◆ setTermStructure()

void setTermStructure ( DefaultProbabilityTermStructure * ts )

override

Definition at line 88 of file defaultprobabilityhelpers.cpp.

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◆ swap()

ext::shared_ptr< CreditDefaultSwap > swap ( ) const

Definition at line 116 of file defaultprobabilityhelpers.hpp.

◆ update()

void update ( )

overridevirtual

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 >.

Definition at line 98 of file defaultprobabilityhelpers.cpp.

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