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| 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) |
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| 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) |
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void | setTermStructure (DefaultProbabilityTermStructure *) |
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| RelativeDateBootstrapHelper (const Handle< Quote > "e) |
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| RelativeDateBootstrapHelper (Real quote) |
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| BootstrapHelper (const Handle< Quote > "e) |
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| BootstrapHelper (Real quote) |
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const Handle< Quote > & | quote () const |
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virtual Real | impliedQuote () const =0 |
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Real | quoteError () const |
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| virtual void | setTermStructure (TS *) |
| | sets the term structure to be used for pricing More...
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| virtual Date | earliestDate () const |
| | earliest relevant date More...
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| virtual Date | latestDate () const |
| | latest relevant date More...
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virtual void | accept (AcyclicVisitor &) |
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| Observer (const Observer &) |
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Observer & | operator= (const Observer &) |
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std::pair< std::set< boost::shared_ptr< Observable > >::iterator, bool > | registerWith (const boost::shared_ptr< Observable > &) |
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| void | registerWithObservables (const boost::shared_ptr< Observer > &) |
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Size | unregisterWith (const boost::shared_ptr< Observable > &) |
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void | unregisterWithAll () |
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| Observable (const Observable &) |
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| Observable & | operator= (const Observable &) |
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| void | notifyObservers () |
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Base default-probability bootstrap helper
- Parameters
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| 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. |