QuantLib_SpreadCdsHelper

Langue: en

Version: 379344 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

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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