Upfront-quoted CDS hazard rate bootstrap helper. More...

#include <defaultprobabilityhelpers.hpp>

Inheritance diagram for UpfrontCdsHelper:

Collaboration diagram for UpfrontCdsHelper:

Public Member Functions
	UpfrontCdsHelper (const Handle< Quote > &upfront, Rate runningSpread, const Period &tenor, Integer settlementDays, const Calendar &calendar, Frequency frequency, BusinessDayConvention paymentConvention, DateGeneration::Rule rule, const DayCounter &dayCounter, Real recoveryRate, const Handle< YieldTermStructure > &discountCurve, Natural upfrontSettlementDays=3, bool settlesAccrual=true, bool paysAtDefaultTime=true, const Date &startDate=Date(), const DayCounter &lastPeriodDayCounter=DayCounter(), bool rebatesAccrual=true, CreditDefaultSwap::PricingModel model=CreditDefaultSwap::Midpoint)

	UpfrontCdsHelper (Rate upfront, Rate runningSpread, const Period &tenor, Integer settlementDays, const Calendar &calendar, Frequency frequency, BusinessDayConvention paymentConvention, DateGeneration::Rule rule, const DayCounter &dayCounter, Real recoveryRate, const Handle< YieldTermStructure > &discountCurve, Natural upfrontSettlementDays=3, bool settlesAccrual=true, bool paysAtDefaultTime=true, const Date &startDate=Date(), const DayCounter &lastPeriodDayCounter=DayCounter(), bool rebatesAccrual=true, CreditDefaultSwap::PricingModel model=CreditDefaultSwap::Midpoint)

Real	impliedQuote () const override

Public Member Functions inherited from CdsHelper
	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

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 ()

Private Member Functions
Date	upfrontDate ()

void	initializeDates () override

void	resetEngine () override

Private Attributes
Natural	upfrontSettlementDays_

Date	upfrontDate_

Rate	runningSpread_

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

void	initializeDates () override

virtual void	resetEngine ()=0

Protected Member Functions inherited from RelativeDateBootstrapHelper< TS >
Protected Attributes inherited from CdsHelper
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_

Detailed Description

Upfront-quoted CDS hazard rate bootstrap helper.

Definition at line 191 of file defaultprobabilityhelpers.hpp.

Constructor & Destructor Documentation

◆ UpfrontCdsHelper() [1/2]

UpfrontCdsHelper	(	const Handle< Quote > &	upfront,
		Rate	runningSpread,
		const Period &	tenor,
		Integer	settlementDays,
		const Calendar &	calendar,
		Frequency	frequency,
		BusinessDayConvention	paymentConvention,
		DateGeneration::Rule	rule,
		const DayCounter &	dayCounter,
		Real	recoveryRate,
		const Handle< YieldTermStructure > &	discountCurve,
		Natural	upfrontSettlementDays = `3`,
		bool	settlesAccrual = `true`,
		bool	paysAtDefaultTime = `true`,
		const Date &	startDate = `Date()`,
		const DayCounter &	lastPeriodDayCounter = `DayCounter()`,
		bool	rebatesAccrual = `true`,
		CreditDefaultSwap::PricingModel	model = `CreditDefaultSwap::Midpoint`
	)

Note: the upfront must be quoted in fractional units.

Definition at line 209 of file defaultprobabilityhelpers.cpp.

◆ UpfrontCdsHelper() [2/2]

UpfrontCdsHelper	(	Rate	upfront,
		Rate	runningSpread,
		const Period &	tenor,
		Integer	settlementDays,
		const Calendar &	calendar,
		Frequency	frequency,
		BusinessDayConvention	paymentConvention,
		DateGeneration::Rule	rule,
		const DayCounter &	dayCounter,
		Real	recoveryRate,
		const Handle< YieldTermStructure > &	discountCurve,
		Natural	upfrontSettlementDays = `3`,
		bool	settlesAccrual = `true`,
		bool	paysAtDefaultTime = `true`,
		const Date &	startDate = `Date()`,
		const DayCounter &	lastPeriodDayCounter = `DayCounter()`,
		bool	rebatesAccrual = `true`,
		CreditDefaultSwap::PricingModel	model = `CreditDefaultSwap::Midpoint`
	)