Linux Certif

Toute la documentation sur la certification Linux LPI

QuantLib_CdsHelper

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 > &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)

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

Generated automatically by Doxygen for QuantLib from the source code.