UpfrontCdsHelper Class Reference
Upfront-quoted CDS hazard rate bootstrap helper. More...
#include <ql/termstructures/credit/defaultprobabilityhelpers.hpp>
Inheritance diagram for UpfrontCdsHelper:

Public Member Functions | |
| UpfrontCdsHelper (const Handle< Quote > &upfront, 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, Natural upfrontSettlementDays=0, bool settlesAccrual=true, bool paysAtDefaultTime=true) | |
| UpfrontCdsHelper (Rate upfront, 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, Natural upfrontSettlementDays=0, bool settlesAccrual=true, bool paysAtDefaultTime=true) | |
| Real | impliedQuote () const |
| void | initializeDates () |
Detailed Description
Upfront-quoted CDS hazard rate bootstrap helper.Constructor & Destructor Documentation
| UpfrontCdsHelper | ( | const Handle< Quote > & | upfront, | |
| 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, | |||
| Natural | upfrontSettlementDays = 0, |
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| bool | settlesAccrual = true, |
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| bool | paysAtDefaultTime = true | |||
| ) |
- Note:
- the upfront must be quoted in fractional units.
| UpfrontCdsHelper | ( | Rate | upfront, | |
| 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, | |||
| Natural | upfrontSettlementDays = 0, |
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| bool | settlesAccrual = true, |
|||
| bool | paysAtDefaultTime = true | |||
| ) |
- Note:
- the upfront must be quoted in fractional units.