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QuantLib_SpreadCdsHelper
Langue: en
Version: 379344 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
NAME
QuantLib::SpreadCdsHelper -Spread-quoted CDS hazard rate bootstrap helper.
SYNOPSIS
#include <ql/termstructures/credit/defaultprobabilityhelpers.hpp>
Inherits QuantLib::CdsHelper.
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)
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)
Real impliedQuote () const
Detailed Description
Spread-quoted CDS hazard rate bootstrap helper.
Examples:
CDS.cpp.
Author
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Contenus ©2006-2024 Benjamin Poulain
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