- QuantLib
- CdsHelper
#include <ql/termstructures/credit/defaultprobabilityhelpers.hpp>
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. |
Base default-probability bootstrap helper
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. |
void update | ( | ) | [protected, virtual] |
This method must be implemented in derived classes. An instance of Observer does not call this method directly: instead, it will be called by the observables the instance registered with when they need to notify any changes.
Reimplemented from RelativeDateBootstrapHelper< TS >.