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QuantLib_UpfrontCdsHelper

NAME

QuantLib::UpfrontCdsHelper -

Upfront-quoted CDS hazard rate bootstrap helper.

SYNOPSIS

#include <ql/termstructures/credit/defaultprobabilityhelpers.hpp>

Inherits QuantLib::CdsHelper.

Public Member Functions

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=0, bool settlesAccrual=true, bool paysAtDefaultTime=true)

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=0, bool settlesAccrual=true, bool paysAtDefaultTime=true)

Real impliedQuote () const

void initializeDates ()

Detailed Description

Upfront-quoted CDS hazard rate bootstrap helper.

Constructor & Destructor Documentation

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 = 0, bool settlesAccrual = true, bool paysAtDefaultTime = true)Note:

the upfront must be quoted in fractional units.

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 = 0, bool settlesAccrual = true, bool paysAtDefaultTime = true)Note:

the upfront must be quoted in fractional units.

Author

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