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

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 , |
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bool | settlesAccrual = true , |
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bool | paysAtDefaultTime = true |
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) |
- 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 , |
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bool | settlesAccrual = true , |
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bool | paysAtDefaultTime = true |
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) |
- Note:
- the upfront must be quoted in fractional units.