Spread-quoted CDS hazard rate bootstrap helper. More...
#include <ql/termstructures/credit/defaultprobabilityhelpers.hpp>
 Inheritance diagram for SpreadCdsHelper:
 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, const Date &startDate=Date(), const DayCounter &lastPeriodDayCounter=DayCounter(), bool rebatesAccrual=true, const CreditDefaultSwap::PricingModel model=CreditDefaultSwap::Midpoint) | |
| 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, const Date &startDate=Date(), const DayCounter &lastPeriodDayCounter=DayCounter(), const bool rebatesAccrual=true, const CreditDefaultSwap::PricingModel model=CreditDefaultSwap::Midpoint) | |
| Real | impliedQuote () const | 
|  Public Member Functions inherited from CdsHelper | |
| CdsHelper (const Handle< Quote > "e, 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, const Date &startDate=Date(), const DayCounter &lastPeriodDayCounter=DayCounter(), bool rebatesAccrual=true, const CreditDefaultSwap::PricingModel model=CreditDefaultSwap::Midpoint) | |
| CdsHelper (Rate quote, 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, const Date &startDate=Date(), const DayCounter &lastPeriodDayCounter=DayCounter(), bool rebatesAccrual=true, const CreditDefaultSwap::PricingModel model=CreditDefaultSwap::Midpoint) | |
| void | setTermStructure (DefaultProbabilityTermStructure *) | 
| boost::shared_ptr< CreditDefaultSwap > | swap () const | 
| void | update () | 
|  Public Member Functions inherited from RelativeDateBootstrapHelper< TS > | |
| RelativeDateBootstrapHelper (const Handle< Quote > "e) | |
| RelativeDateBootstrapHelper (Real quote) | |
|  Public Member Functions inherited from BootstrapHelper< TS > | |
| BootstrapHelper (const Handle< Quote > "e) | |
| BootstrapHelper (Real quote) | |
| const Handle< Quote > & | quote () const | 
| Real | quoteError () const | 
| virtual void | setTermStructure (TS *) | 
| sets the term structure to be used for pricing  More... | |
| virtual Date | earliestDate () const | 
| earliest relevant date  More... | |
| virtual Date | maturityDate () const | 
| instrument's maturity date | |
| virtual Date | latestRelevantDate () const | 
| latest relevant date  More... | |
| virtual Date | pillarDate () const | 
| pillar date | |
| virtual Date | latestDate () const | 
| latest date  More... | |
| virtual void | accept (AcyclicVisitor &) | 
|  Public Member Functions inherited from Observer | |
| Observer (const Observer &) | |
| Observer & | operator= (const Observer &) | 
| std::pair< iterator, bool > | registerWith (const boost::shared_ptr< Observable > &) | 
| void | registerWithObservables (const boost::shared_ptr< Observer > &) | 
| Size | unregisterWith (const boost::shared_ptr< Observable > &) | 
| void | unregisterWithAll () | 
| virtual void | deepUpdate () | 
|  Public Member Functions inherited from Observable | |
| Observable (const Observable &) | |
| Observable & | operator= (const Observable &) | 
| void | notifyObservers () | 
| Additional Inherited Members | |
|  Public Types inherited from Observer | |
| typedef std::set< boost::shared_ptr< Observable > > | set_type | 
| typedef set_type::iterator | iterator | 
|  Protected Member Functions inherited from CdsHelper | |
| void | initializeDates () | 
|  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_ | 
| boost::shared_ptr< CreditDefaultSwap > | swap_ | 
| RelinkableHandle< DefaultProbabilityTermStructure > | probability_ | 
| Date | protectionStart_ | 
| protection effective date. | |
| Date | startDate_ | 
|  Protected Attributes inherited from RelativeDateBootstrapHelper< TS > | |
| Date | evaluationDate_ | 
|  Protected Attributes inherited from BootstrapHelper< TS > | |
| Handle< Quote > | quote_ | 
| TS * | termStructure_ | 
| Date | earliestDate_ | 
| Date | latestDate_ | 
| Date | maturityDate_ | 
| Date | latestRelevantDate_ | 
| Date | pillarDate_ | 
Spread-quoted CDS hazard rate bootstrap helper.