CdsHelper Class Reference

#include <ql/termstructures/credit/defaultprobabilityhelpers.hpp>

Inheritance diagram for CdsHelper:

List of all members.

Public Member Functions

 CdsHelper (const Handle< Quote > &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)
 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< YieldTermStructurediscountCurve_
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.