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

Public Member Functions | |
SpreadCdsHelper (const Handle< Quote > &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, bool settlesAccrual=true, bool paysAtDefaultTime=true) | |
SpreadCdsHelper (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, bool settlesAccrual=true, bool paysAtDefaultTime=true) | |
Real | impliedQuote () const |
Detailed Description
Spread-quoted CDS hazard rate bootstrap helper.
- Examples: