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 std::variant< Rate, 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=3, bool settlesAccrual=true, bool paysAtDefaultTime=true, const Date &startDate=Date(), const DayCounter &lastPeriodDayCounter=DayCounter(), bool rebatesAccrual=true, CreditDefaultSwap::PricingModel model=CreditDefaultSwap::Midpoint)
Real	impliedQuote () const override
Public Member Functions inherited from 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)
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
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 ()

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator
Protected Attributes inherited from CdsHelper
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_

Detailed Description

Upfront-quoted CDS hazard rate bootstrap helper.

Constructor & Destructor Documentation

UpfrontCdsHelper()

UpfrontCdsHelper	(	const std::variant< Rate, 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 = 3,
		bool	settlesAccrual = true,
		bool	paysAtDefaultTime = true,
		const Date &	startDate = Date(),
		const DayCounter &	lastPeriodDayCounter = DayCounter(),
		bool	rebatesAccrual = true,
		CreditDefaultSwap::PricingModel	model = CreditDefaultSwap::Midpoint )

Note

the upfront must be quoted in fractional units.

Member Function Documentation

impliedQuote()

Real impliedQuote ( ) const

overridevirtual

Implements BootstrapHelper< DefaultProbabilityTermStructure >.