UpfrontCdsHelper Class Reference

Upfront-quoted CDS hazard rate bootstrap helper. More...

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

Inheritance diagram for UpfrontCdsHelper:

List of all members.

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,
bool  settlesAccrual = true,
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,
bool  settlesAccrual = true,
bool  paysAtDefaultTime = true 
)

Note:
the upfront must be quoted in fractional units.