CdsHelper Class Reference
Default-probability bootstrap helper based on quoted CDS spreads. More...
#include <ql/termstructures/credit/defaultprobabilityhelpers.hpp>
Inheritance diagram for CdsHelper:

Public Member Functions | |
CdsHelper (const Handle< Quote > &spread, 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 spread, 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) | |
Real | impliedQuote () const |
void | setTermStructure (DefaultProbabilityTermStructure *) |
Detailed Description
Default-probability bootstrap helper based on quoted CDS spreads.- Examples: