CdsHelper (3) - Linux Manuals

CdsHelper: Default-probability bootstrap helper based on quoted CDS spreads.

NAME

QuantLib::CdsHelper - Default-probability bootstrap helper based on quoted CDS spreads.

SYNOPSIS

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

Inherits BootstrapHelper< DefaultProbabilityTermStructure >.

Public Member Functions

CdsHelper (const Handle< Quote > &spread, 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)

CdsHelper (Rate spread, 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

void setTermStructure (DefaultProbabilityTermStructure *)
sets the term structure to be used for pricing

Detailed Description

Default-probability bootstrap helper based on quoted CDS spreads.

Examples:

CDS.cpp.

Member Function Documentation

void setTermStructure (DefaultProbabilityTermStructure *) [virtual]

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 >.

Author

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