- QuantLib
- CdsHelper
 
#include <ql/termstructures/credit/defaultprobabilityhelpers.hpp>

| Public Member Functions | |
| 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) | |
| 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) | |
| void | setTermStructure (DefaultProbabilityTermStructure *) | 
| Protected Member Functions | |
| void | update () | 
| void | initializeDates () | 
| 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_ | 
| Schedule | schedule_ | 
| boost::shared_ptr < CreditDefaultSwap > | swap_ | 
| RelinkableHandle < DefaultProbabilityTermStructure > | probability_ | 
| Date | protectionStart_ | 
| protection effective date. | |
Base default-probability bootstrap helper
| tenor | CDS tenor. | 
| frequency | Coupon frequency. | 
| settlementDays | The number of days from today's date to the start of the protection period. | 
| paymentConvention | The payment convention applied to coupons schedules, settlement dates and protection period calculations. | 
| void update | ( | ) |  [protected, virtual] | 
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 RelativeDateBootstrapHelper< TS >.