QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Public Member Functions | Private Member Functions | List of all members
SpreadCdsHelper Class Reference

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

#include <defaultprobabilityhelpers.hpp>

+ Inheritance diagram for SpreadCdsHelper:
+ Collaboration diagram for SpreadCdsHelper:

Public Member Functions

 SpreadCdsHelper (const Handle< Quote > &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, bool settlesAccrual=true, bool paysAtDefaultTime=true, const Date &startDate=Date(), const DayCounter &lastPeriodDayCounter=DayCounter(), bool rebatesAccrual=true, CreditDefaultSwap::PricingModel model=CreditDefaultSwap::Midpoint)
 
 SpreadCdsHelper (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, 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< CreditDefaultSwapswap () 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 &)
 
Observeroperator= (const Observer &)
 
virtual ~Observer ()
 
std::pair< iterator, boolregisterWith (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 &)
 
Observableoperator= (const Observable &)
 
 Observable (Observable &&)=delete
 
Observableoperator= (Observable &&)=delete
 
virtual ~Observable ()=default
 
void notifyObservers ()
 

Private Member Functions

void resetEngine () override
 

Additional Inherited Members

- Public Types inherited from Observer
typedef set_type::iterator iterator
 
- Protected Member Functions inherited from CdsHelper
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< YieldTermStructurediscountCurve_
 
bool settlesAccrual_
 
bool paysAtDefaultTime_
 
DayCounter lastPeriodDC_
 
bool rebatesAccrual_
 
CreditDefaultSwap::PricingModel model_
 
Schedule schedule_
 
ext::shared_ptr< CreditDefaultSwapswap_
 
RelinkableHandle< DefaultProbabilityTermStructureprobability_
 
Date protectionStart_
 protection effective date. More...
 
Date startDate_
 
- Protected Attributes inherited from RelativeDateBootstrapHelper< TS >
Date evaluationDate_
 
- Protected Attributes inherited from BootstrapHelper< TS >
Handle< Quotequote_
 
TS * termStructure_
 
Date earliestDate_
 
Date latestDate_
 
Date maturityDate_
 
Date latestRelevantDate_
 
Date pillarDate_
 

Detailed Description

Spread-quoted CDS hazard rate bootstrap helper.

Definition at line 148 of file defaultprobabilityhelpers.hpp.

Constructor & Destructor Documentation

◆ SpreadCdsHelper() [1/2]

SpreadCdsHelper ( const Handle< Quote > &  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,
bool  settlesAccrual = true,
bool  paysAtDefaultTime = true,
const Date startDate = Date(),
const DayCounter lastPeriodDayCounter = DayCounter(),
bool  rebatesAccrual = true,
CreditDefaultSwap::PricingModel  model = CreditDefaultSwap::Midpoint 
)

Definition at line 138 of file defaultprobabilityhelpers.cpp.

◆ SpreadCdsHelper() [2/2]

SpreadCdsHelper ( 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,
bool  settlesAccrual = true,
bool  paysAtDefaultTime = true,
const Date startDate = Date(),
const DayCounter lastPeriodDayCounter = DayCounter(),
bool  rebatesAccrual = true,
CreditDefaultSwap::PricingModel  model = CreditDefaultSwap::Midpoint 
)

Definition at line 160 of file defaultprobabilityhelpers.cpp.

Member Function Documentation

◆ impliedQuote()

Real impliedQuote ( ) const
overridevirtual

Implements BootstrapHelper< TS >.

Definition at line 182 of file defaultprobabilityhelpers.cpp.

◆ resetEngine()

void resetEngine ( )
overrideprivatevirtual

Implements CdsHelper.

Definition at line 187 of file defaultprobabilityhelpers.cpp.