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QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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This is the complete list of members for UpfrontCdsHelper, including all inherited members.
| accept(AcyclicVisitor &) | BootstrapHelper< TS > | virtual |
| BootstrapHelper(Handle< Quote > quote) | BootstrapHelper< TS > | explicit |
| BootstrapHelper(Real quote) | BootstrapHelper< TS > | explicit |
| calendar_ | CdsHelper | protected |
| 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 | |
| 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) | CdsHelper | |
| dayCounter_ | CdsHelper | protected |
| deepUpdate() | Observer | virtual |
| discountCurve_ | CdsHelper | protected |
| earliestDate() const | BootstrapHelper< TS > | virtual |
| earliestDate_ | BootstrapHelper< TS > | protected |
| evaluationDate_ | RelativeDateBootstrapHelper< TS > | protected |
| frequency_ | CdsHelper | protected |
| impliedQuote() const override | UpfrontCdsHelper | virtual |
| initializeDates() override | UpfrontCdsHelper | privatevirtual |
| QuantLib::iterator typedef | Observer | |
| lastPeriodDC_ | CdsHelper | protected |
| latestDate() const | BootstrapHelper< TS > | virtual |
| latestDate_ | BootstrapHelper< TS > | protected |
| latestRelevantDate() const | BootstrapHelper< TS > | virtual |
| latestRelevantDate_ | BootstrapHelper< TS > | protected |
| maturityDate() const | BootstrapHelper< TS > | virtual |
| maturityDate_ | BootstrapHelper< TS > | protected |
| model_ | CdsHelper | protected |
| notifyObservers() | Observable | |
| Observable() | Observable | |
| Observable(const Observable &) | Observable | |
| Observable(Observable &&)=delete | Observable | |
| observables_ | Observer | private |
| QuantLib::Observer()=default | Observer | |
| QuantLib::Observer(const Observer &) | Observer | |
| observers_ | Observable | private |
| QuantLib::operator=(const Observer &) | Observer | |
| QuantLib::Observable::operator=(const Observable &) | Observable | |
| QuantLib::Observable::operator=(Observable &&)=delete | Observable | |
| paymentConvention_ | CdsHelper | protected |
| paysAtDefaultTime_ | CdsHelper | protected |
| pillarDate() const | BootstrapHelper< TS > | virtual |
| pillarDate_ | BootstrapHelper< TS > | protected |
| probability_ | CdsHelper | protected |
| protectionStart_ | CdsHelper | protected |
| quote() const | BootstrapHelper< TS > | |
| quote_ | BootstrapHelper< TS > | protected |
| quoteError() const | BootstrapHelper< TS > | |
| rebatesAccrual_ | CdsHelper | protected |
| recoveryRate_ | CdsHelper | protected |
| registerObserver(Observer *) | Observable | private |
| registerWith(const ext::shared_ptr< Observable > &) | Observer | |
| registerWithObservables(const ext::shared_ptr< Observer > &) | Observer | |
| RelativeDateBootstrapHelper(const Handle< Quote > "e) | RelativeDateBootstrapHelper< TS > | explicit |
| RelativeDateBootstrapHelper(Real quote) | RelativeDateBootstrapHelper< TS > | explicit |
| resetEngine() override | UpfrontCdsHelper | privatevirtual |
| rule_ | CdsHelper | protected |
| runningSpread_ | UpfrontCdsHelper | private |
| schedule_ | CdsHelper | protected |
| QuantLib::set_type typedef | Observer | private |
| setTermStructure(DefaultProbabilityTermStructure *) override | CdsHelper | |
| QuantLib::RelativeDateBootstrapHelper::setTermStructure(TS *) | BootstrapHelper< TS > | virtual |
| settlementDays_ | CdsHelper | protected |
| settlesAccrual_ | CdsHelper | protected |
| startDate_ | CdsHelper | protected |
| swap() const | CdsHelper | |
| swap_ | CdsHelper | protected |
| tenor_ | CdsHelper | protected |
| termStructure_ | BootstrapHelper< TS > | protected |
| unregisterObserver(Observer *) | Observable | private |
| unregisterWith(const ext::shared_ptr< Observable > &) | Observer | |
| unregisterWithAll() | Observer | |
| update() override | CdsHelper | virtual |
| 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 | |
| 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) | UpfrontCdsHelper | |
| upfrontDate() | UpfrontCdsHelper | private |
| upfrontDate_ | UpfrontCdsHelper | private |
| upfrontSettlementDays_ | UpfrontCdsHelper | private |
| ~BootstrapHelper() override=default | BootstrapHelper< TS > | |
| ~Observable()=default | Observable | virtual |
| ~Observer() | Observer | virtual |
