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QuantLib_CdsHelper
Langue: en
Version: 384102 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
Sommaire
NAME
QuantLib::CdsHelper -SYNOPSIS
#include <ql/termstructures/credit/defaultprobabilityhelpers.hpp>
Inherits QuantLib::RelativeDateBootstrapHelper< DefaultProbabilityTermStructure >.
Inherited by SpreadCdsHelper, and UpfrontCdsHelper.
Public Member Functions
CdsHelper (const Handle< Quote > "e, 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)
CdsHelper (Rate quote, 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)
void setTermStructure (DefaultProbabilityTermStructure *)
Protected Member Functions
void update ()
void initializeDates ()
virtual void resetEngine ()=0
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_
Schedule schedule_
boost::shared_ptr< CreditDefaultSwap > swap_
RelinkableHandle< DefaultProbabilityTermStructure > probability_
Date protectionStart_
protection effective date.
Detailed Description
Base default-probability bootstrap helper
Parameters:
- tenor CDS tenor.
frequency Coupon frequency.
settlementDays The number of days from today's date to the start of the protection period.
paymentConvention The payment convention applied to coupons schedules, settlement dates and protection period calculations.
Author
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