returns the net present value of the instrument.
returns all additional result returned by the pricing engine.
This method causes the object to forward all notifications, even when not calculated. The default behavior is to forward the first notification received, and discard the others until recalculated; the rationale is that observers were already notified, and don't need further notification until they recalculate, at which point this object would be recalculated too. After recalculation, this object would again forward the first notification received.
warning Forwarding all notifications will cause a performance hit, and should be used only when discarding notifications cause an incorrect behavior.
Conventional/standard upfront-to-spread conversion
Under a standard ISDA model and a set of standardised instrument characteristics, it is the running only quoted spread that will make a CDS contract have an NPV of 0 when quoted for that running only spread. Refer to: "ISDA Standard CDS converter specification." May 2009.
The conventional recovery rate to apply in the calculation is as specified by ISDA, not necessarily equal to the market-quoted one. It is typically 0.4 for SeniorSec and 0.2 for subordinate.
note The conversion employs a flat hazard rate. As a result, you will not recover the market quotes.
note This method performs the calculation with the instrument characteristics. It will coincide with the ISDA calculation if your object has the standard characteristics. Notably:
Returns the variation of the fixed-leg value given a one-basis-point change in the running spread.
returns the error estimate on the NPV when available.
Returns the running spread that, given the quoted recovery rate, will make the running-only CDS have an NPV of 0.
note This calculation does not take any upfront into account, even if one was given.
Returns the upfront spread that, given the running spread and the quoted recovery rate, will make the instrument have an NPV of 0.
This method constrains the object to return the presently cached results on successive invocations, even if arguments upon which they depend should change.
Implied hazard rate calculation
note This method performs the calculation with the instrument characteristics. It will coincide with the ISDA calculation if your object has the standard characteristics. Notably:
Whether the protection is bought or sold.
Notional value
Running spread in fractional units.
Coupon schedule.
Day-count convention for accrual.
Whether or not the accrued coupon is due in the event of a default.
If set to true, any payments triggered by a default event are due at default time. If set to false, they are due at the end of the accrual period.
The first date where a default event will trigger the contract. Typically T+1 Notice there is no default lookback period and protection start here. In the way it determines the dirty amount it is more like the trade execution date
Day-count convention for accrual in last period
The protection seller pays the accrued scheduled current coupon at the start of the contract. The rebate date is not provided but computed to be two days after protection start.
Whether the protection is bought or sold.
Notional value
Upfront in fractional units.
Coupon schedule.
Day-count convention for accrual.
Whether or not the accrued coupon is due in the event of a default.
If set to true, any payments triggered by a default event are due at default time. If set to false, they are due at the end of the accrual period.
The first date where a default event will trigger the contract. Typically T+1 Notice there is no default lookback period and protection start here. In the way it determines the dirty amount it is more like the trade execution date
Settlement date for the upfront and accrual rebate (if any) payments. Typically T+3, this is also the default value.
Day-count convention for accrual in last period
The protection seller pays the accrued scheduled current coupon at the start of the contract. The rebate date is not provided but computed to be two days after protection start.
This method force the recalculation of any results which
would otherwise be cached. It is not declared as
const since it needs to call the
non-const notifyObservers method.
note Explicit invocation of this method is not necessary if the object registered itself as observer with the structures on which such results depend. It is strongly advised to follow this policy when possible.
returns any additional result returned by the pricing engine.
set the pricing engine to be used.
warning calling this method will have no effects in case the performCalculation method was overridden in a derived class.
This method reverts the effect of the freeze
method, thus re-enabling recalculations.
Observer interface
returns the date the net present value refers to.
Credit default swap
note This instrument currently assumes that the issuer did not default until today's date.
warning if
Settings.includeReferenceDateCashFlowsis set totrue, payments occurring at the settlement date of the swap might be included in the NPV and therefore affect the fair-spread calculation. This might not be what you want.warning conventionalSpread (and impliedHazardRate) by default use the mid-point engine, which is not ISDA conform.