QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Spread-quoted CDS hazard rate bootstrap helper. More...
#include <defaultprobabilityhelpers.hpp>
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 > "e, 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 > "e) | |
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 | |
void | resetEngine () override |
Spread-quoted CDS hazard rate bootstrap helper.
Definition at line 148 of file defaultprobabilityhelpers.hpp.
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 , |
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bool | paysAtDefaultTime = true , |
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const Date & | startDate = Date() , |
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const DayCounter & | lastPeriodDayCounter = DayCounter() , |
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bool | rebatesAccrual = true , |
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CreditDefaultSwap::PricingModel | model = CreditDefaultSwap::Midpoint |
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) |
Definition at line 138 of file defaultprobabilityhelpers.cpp.
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 , |
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bool | paysAtDefaultTime = true , |
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const Date & | startDate = Date() , |
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const DayCounter & | lastPeriodDayCounter = DayCounter() , |
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bool | rebatesAccrual = true , |
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CreditDefaultSwap::PricingModel | model = CreditDefaultSwap::Midpoint |
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) |
Definition at line 160 of file defaultprobabilityhelpers.cpp.
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overridevirtual |
Implements BootstrapHelper< TS >.
Definition at line 182 of file defaultprobabilityhelpers.cpp.
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overrideprivatevirtual |
Implements CdsHelper.
Definition at line 187 of file defaultprobabilityhelpers.cpp.