CdsHelper Class Reference
#include <ql/termstructures/credit/defaultprobabilityhelpers.hpp>
Inheritance diagram for CdsHelper:

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. |
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.
Member Function Documentation
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 >.