CdsHelper Class Reference

Base class for CDS helpers. More...

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

Inheritance diagram for CdsHelper:

Public Member Functions
	CdsHelper (const std::variant< Rate, Handle< Quote > > &quote, const Period &tenor, Integer settlementDays, Calendar calendar, Frequency frequency, BusinessDayConvention paymentConvention, DateGeneration::Rule rule, DayCounter dayCounter, Real recoveryRate, const Handle< YieldTermStructure > &discountCurve, bool settlesAccrual=true, bool paysAtDefaultTime=true, const Date &startDate=Date(), DayCounter lastPeriodDayCounter=DayCounter(), bool rebatesAccrual=true, CreditDefaultSwap::PricingModel model=CreditDefaultSwap::Midpoint)
void	setTermStructure (DefaultProbabilityTermStructure *) override
	sets the term structure to be used for pricing
ext::shared_ptr< CreditDefaultSwap >	swap () const
void	update () override
Public Member Functions inherited from RelativeDateBootstrapHelper< DefaultProbabilityTermStructure >
	RelativeDateBootstrapHelper (const std::variant< Spread, Handle< Quote > > &quote, bool updateDates=true)
void	update () override
Public Member Functions inherited from BootstrapHelper< DefaultProbabilityTermStructure >
	BootstrapHelper (const std::variant< Spread, Handle< Quote > > &quote)
const Handle< Quote > &	quote () const
virtual Real	impliedQuote () const=0
Real	quoteError () const
virtual Date	earliestDate () const
	earliest relevant date
virtual Date	maturityDate () const
	instrument's maturity date
virtual Date	latestRelevantDate () const
	latest relevant date
virtual Date	pillarDate () const
	pillar date
virtual Date	latestDate () const
	latest date
virtual void	accept (AcyclicVisitor &)
Public Member Functions inherited from Observer
	Observer (const Observer &)
Observer &	operator= (const Observer &)
std::pair< iterator, bool >	registerWith (const ext::shared_ptr< Observable > &)
void	registerWithObservables (const ext::shared_ptr< Observer > &)
Size	unregisterWith (const ext::shared_ptr< Observable > &)
void	unregisterWithAll ()
virtual void	deepUpdate ()
Public Member Functions inherited from Observable
	Observable (const Observable &)
Observable &	operator= (const Observable &)
	Observable (Observable &&)=delete
Observable &	operator= (Observable &&)=delete
void	notifyObservers ()

Protected Member Functions
void	initializeDates () override
virtual void	resetEngine ()=0

Protected Attributes
Period	tenor_
Integer	settlementDays_
Calendar	calendar_
Frequency	frequency_
BusinessDayConvention	paymentConvention_
DateGeneration::Rule	rule_
DayCounter	dayCounter_
Real	recoveryRate_
Handle< YieldTermStructure >	discountCurve_
bool	settlesAccrual_
bool	paysAtDefaultTime_
DayCounter	lastPeriodDC_
bool	rebatesAccrual_
CreditDefaultSwap::PricingModel	model_
Schedule	schedule_
ext::shared_ptr< CreditDefaultSwap >	swap_
RelinkableHandle< DefaultProbabilityTermStructure >	probability_
Date	protectionStart_
	protection effective date.
Date	startDate_
Date	evaluationDate_
bool	updateDates_
Handle< Quote >	quote_
DefaultProbabilityTermStructure *	termStructure_
Date	earliestDate_
Date	latestDate_
Date	maturityDate_
Date	latestRelevantDate_
Date	pillarDate_

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator

Detailed Description

Base class for CDS helpers.

Constructor & Destructor Documentation

CdsHelper()

CdsHelper	(	const std::variant< Rate, Handle< Quote > > &	quote,
		const Period &	tenor,
		Integer	settlementDays,
		Calendar	calendar,
		Frequency	frequency,
		BusinessDayConvention	paymentConvention,
		DateGeneration::Rule	rule,
		DayCounter	dayCounter,
		Real	recoveryRate,
		const Handle< YieldTermStructure > &	discountCurve,
		bool	settlesAccrual = true,
		bool	paysAtDefaultTime = true,
		const Date &	startDate = Date(),
		DayCounter	lastPeriodDayCounter = DayCounter(),
		bool	rebatesAccrual = true,
		CreditDefaultSwap::PricingModel	model = CreditDefaultSwap::Midpoint )

Constructor taking CDS market quote

Parameters

quote	The helper's market quote.
tenor	CDS tenor.
settlementDays	The number of days from evaluation date to the start of the protection period. Prior to the CDS Big Bang in 2009, this was typically 1 calendar day. After the CDS Big Bang, this is typically 0 calendar days i.e. protection starts immediately.
calendar	CDS calendar. Typically weekends only for standard non-JPY CDS and TYO for JPY.
frequency	Coupon frequency. Typically 3 months for standard CDS.
paymentConvention	The convention applied to coupons schedules and settlement dates.
rule	The date generation rule for generating the CDS schedule. Typically, for CDS prior to the Big Bang, OldCDS should be used. After the Big Bang, CDS was typical and since 2015 CDS2015 is standard.
dayCounter	The day counter for CDS fee leg coupons. Typically it is Actual/360, excluding accrual end, for all but the final coupon period with Actual/360, including accrual end, for the final coupon. The lastPeriodDayCounter below allows for this distinction.
recoveryRate	The recovery rate of the underlying reference entity.
discountCurve	A handle to the relevant discount curve.
settlesAccrual	Set to true if accrued fee is paid on the occurrence of a credit event and set to false if it is not. Typically this is true.
paysAtDefaultTime	Set to true if default payment is made at time of credit event or postponed to the end of the coupon period. Typically this is true.
startDate	Used to specify an explicit start date for the CDS schedule and the date from which the CDS maturity is calculated via the tenor. Useful for off-the-run index schedules.
lastPeriodDayCounter	The day counter for the last fee leg coupon. See comment on dayCounter.
rebatesAccrual	Set to true if the fee leg accrual is rebated on the cash settlement date. For CDS after the Big Bang, this is typically true.
model	The pricing model to use for the helper.

Member Function Documentation

setTermStructure()

void setTermStructure ( DefaultProbabilityTermStructure * )

overridevirtual

sets the term structure to be used for pricing

Warning

Being a pointer and not a shared_ptr, the term structure is not guaranteed to remain allocated for the whole life of the rate helper. It is responsibility of the programmer to ensure that the pointer remains valid. It is advised that this method is called only inside the term structure being bootstrapped, setting the pointer to this, i.e., the term structure itself.

Reimplemented from BootstrapHelper< DefaultProbabilityTermStructure >.

update()

void update ( )

overridevirtual

This method must be implemented in derived classes. An instance of Observer does not call this method directly: instead, it will be called by the observables the instance registered with when they need to notify any changes.

Reimplemented from BootstrapHelper< DefaultProbabilityTermStructure >.

initializeDates()

void initializeDates ( )

overrideprotectedvirtual

Implements RelativeDateBootstrapHelper< DefaultProbabilityTermStructure >.