CreditDefaultSwap Class Reference
Credit default swap. More...
#include <ql/instruments/creditdefaultswap.hpp>

Public Member Functions | |
Constructors | |
CreditDefaultSwap (Protection::Side side, Real notional, Rate spread, const Schedule &schedule, BusinessDayConvention paymentConvention, const DayCounter &dayCounter, bool settlesAccrual=true, bool paysAtDefaultTime=true, const Date &protectionStart=Date(), const boost::shared_ptr< Claim > &=boost::shared_ptr< Claim >()) | |
CDS quoted as running-spread only. | |
CreditDefaultSwap (Protection::Side side, Real notional, Rate upfront, Rate spread, const Schedule &schedule, BusinessDayConvention paymentConvention, const DayCounter &dayCounter, bool settlesAccrual=true, bool paysAtDefaultTime=true, const Date &protectionStart=Date(), const Date &upfrontDate=Date(), const boost::shared_ptr< Claim > &=boost::shared_ptr< Claim >()) | |
CDS quoted as upfront and running spread. | |
Inspectors | |
Protection::Side | side () const |
Real | notional () const |
Rate | runningSpread () const |
boost::optional< Rate > | upfront () const |
bool | settlesAccrual () const |
bool | paysAtDefaultTime () const |
const Leg & | coupons () const |
const Date & | protectionStartDate () const |
The first date for which defaults will trigger the contract. | |
const Date & | protectionEndDate () const |
The last date for which defaults will trigger the contract. | |
Results | |
Rate | fairUpfront () const |
Rate | fairSpread () const |
Real | couponLegBPS () const |
Real | upfrontBPS () const |
Real | couponLegNPV () const |
Real | defaultLegNPV () const |
Real | upfrontNPV () const |
Rate | impliedHazardRate (Real targetNPV, const Handle< YieldTermStructure > &discountCurve, const DayCounter &dayCounter, Real recoveryRate=0.4, Real accuracy=1.0e-6) const |
Implied hazard rate calculation. | |
Rate | conventionalSpread (Real conventionalRecovery, const Handle< YieldTermStructure > &discountCurve, const DayCounter &dayCounter) const |
Conventional/standard upfront-to-spread conversion. | |
Protected Attributes | |
Protection::Side | side_ |
Real | notional_ |
boost::optional< Rate > | upfront_ |
Rate | runningSpread_ |
bool | settlesAccrual_ |
bool | paysAtDefaultTime_ |
boost::shared_ptr< Claim > | claim_ |
Leg | leg_ |
boost::shared_ptr< CashFlow > | upfrontPayment_ |
Date | protectionStart_ |
Rate | fairUpfront_ |
Rate | fairSpread_ |
Real | couponLegBPS_ |
Real | couponLegNPV_ |
Real | upfrontBPS_ |
Real | upfrontNPV_ |
Real | defaultLegNPV_ |
Instrument interface | |
bool | isExpired () const |
returns whether the instrument might have value greater than zero. | |
void | setupArguments (PricingEngine::arguments *) const |
void | fetchResults (const PricingEngine::results *) const |
void | setupExpired () const |
Detailed Description
Credit default swap.
- Note:
- This instrument currently assumes that the issuer did not default until today's date.
- Warning:
- if
Settings::includeReferenceDateCashFlows()
is set totrue
, payments occurring at the settlement date of the swap might be included in the NPV and therefore affect the fair-spread calculation. This might not be what you want.
- Examples:
Constructor & Destructor Documentation
CreditDefaultSwap | ( | Protection::Side | side, |
Real | notional, | ||
Rate | spread, | ||
const Schedule & | schedule, | ||
BusinessDayConvention | paymentConvention, | ||
const DayCounter & | dayCounter, | ||
bool | settlesAccrual = true , |
||
bool | paysAtDefaultTime = true , |
||
const Date & | protectionStart = Date() , |
||
const boost::shared_ptr< Claim > & | = boost::shared_ptr< Claim >() |
||
) |
CDS quoted as running-spread only.
- Parameters:
-
side Whether the protection is bought or sold. notional Notional value spread Running spread in fractional units. schedule Coupon schedule. paymentConvention Business-day convention for payment-date adjustment. dayCounter Day-count convention for accrual. settlesAccrual Whether or not the accrued coupon is due in the event of a default. paysAtDefaultTime If set to true, any payments triggered by a default event are due at default time. If set to false, they are due at the end of the accrual period. protectionStart The first date where a default event will trigger the contract.
CreditDefaultSwap | ( | Protection::Side | side, |
Real | notional, | ||
Rate | upfront, | ||
Rate | spread, | ||
const Schedule & | schedule, | ||
BusinessDayConvention | paymentConvention, | ||
const DayCounter & | dayCounter, | ||
bool | settlesAccrual = true , |
||
bool | paysAtDefaultTime = true , |
||
const Date & | protectionStart = Date() , |
||
const Date & | upfrontDate = Date() , |
||
const boost::shared_ptr< Claim > & | = boost::shared_ptr< Claim >() |
||
) |
CDS quoted as upfront and running spread.
- Parameters:
-
side Whether the protection is bought or sold. notional Notional value upfront Upfront in fractional units. spread Running spread in fractional units. schedule Coupon schedule. paymentConvention Business-day convention for payment-date adjustment. dayCounter Day-count convention for accrual. settlesAccrual Whether or not the accrued coupon is due in the event of a default. paysAtDefaultTime If set to true, any payments triggered by a default event are due at default time. If set to false, they are due at the end of the accrual period. protectionStart The first date where a default event will trigger the contract. upfrontDate Settlement date for the upfront payment.
Member Function Documentation
void setupArguments | ( | PricingEngine::arguments * | ) | const [virtual] |
When a derived argument structure is defined for an instrument, this method should be overridden to fill it. This is mandatory in case a pricing engine is used.
Reimplemented from Instrument.
void fetchResults | ( | const PricingEngine::results * | r | ) | const [virtual] |
When a derived result structure is defined for an instrument, this method should be overridden to read from it. This is mandatory in case a pricing engine is used.
Reimplemented from Instrument.
Rate fairUpfront | ( | ) | const |
Returns the upfront spread that, given the running spread and the quoted recovery rate, will make the instrument have an NPV of 0.
Rate fairSpread | ( | ) | const |
Returns the running spread that, given the quoted recovery rate, will make the running-only CDS have an NPV of 0.
- Note:
- This calculation does not take any upfront into account, even if one was given.
Real couponLegBPS | ( | ) | const |
Returns the variation of the fixed-leg value given a one-basis-point change in the running spread.
Rate impliedHazardRate | ( | Real | targetNPV, |
const Handle< YieldTermStructure > & | discountCurve, | ||
const DayCounter & | dayCounter, | ||
Real | recoveryRate = 0.4 , |
||
Real | accuracy = 1.0e-6 |
||
) | const |
Implied hazard rate calculation.
- Note:
- This method performs the calculation with the instrument characteristics. It will coincide with the ISDA calculation if your object has the standard characteristics. Notably:
- The calendar should have no bank holidays, just weekends.
- The yield curve should be LIBOR piecewise constant in fwd rates, with a discount factor of 1 on the calculation date, which coincides with the trade date.
- Convention should be Following for yield curve and contract cashflows.
- The CDS should pay accrued and mature on standard IMM dates, settle on trade date +1 and upfront settle on trade date +3.
Rate conventionalSpread | ( | Real | conventionalRecovery, |
const Handle< YieldTermStructure > & | discountCurve, | ||
const DayCounter & | dayCounter | ||
) | const |
Conventional/standard upfront-to-spread conversion.
Under a standard ISDA model and a set of standardised instrument characteristics, it is the running only quoted spread that will make a CDS contract have an NPV of 0 when quoted for that running only spread. Refer to: "ISDA Standard CDS converter specification." May 2009.
The conventional recovery rate to apply in the calculation is as specified by ISDA, not necessarily equal to the market-quoted one. It is typically 0.4 for SeniorSec and 0.2 for subordinate.
- Note:
- The conversion employs a flat hazard rate. As a result, you will not recover the market quotes.
-
This method performs the calculation with the instrument characteristics. It will coincide with the ISDA calculation if your object has the standard characteristics. Notably:
- The calendar should have no bank holidays, just weekends.
- The yield curve should be LIBOR piecewise constant in fwd rates, with a discount factor of 1 on the calculation date, which coincides with the trade date.
- Convention should be Following for yield curve and contract cashflows.
- The CDS should pay accrued and mature on standard IMM dates, settle on trade date +1 and upfront settle on trade date +3.
void setupExpired | ( | ) | const [protected, virtual] |
This method must leave the instrument in a consistent state when the expiration condition is met.
Reimplemented from Instrument.