CdsHelper Class Reference

Default-probability bootstrap helper based on quoted CDS spreads. More...

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

Inheritance diagram for CdsHelper:

List of all members.

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:

CDS.cpp.