Class MakeCreditDefaultSwap

helper class

This class provides a more comfortable way to instantiate standard cds.

Hierarchy

MakeCreditDefaultSwap

Implements

NullaryFunction<CreditDefaultSwap>

Index

Properties

Methods

Properties

Private _couponRate

_couponRate: Real

Private _couponTenor

_couponTenor: Period

Private _dayCounter

_dayCounter: DayCounter

Private _engine

_engine: PricingEngine

Private _lastPeriodDayCounter

_lastPeriodDayCounter: DayCounter

Private _nominal

_nominal: Real

Private _side

_side: Side

Private _tenor

_tenor: Period

Private _termDate

_termDate: Date

Private _upfrontRate

_upfrontRate: Real

Methods

f

f(): CreditDefaultSwap

Implementation of NullaryFunction.f
- Defined in ql/instruments/makecds.ts:92
Returns CreditDefaultSwap

init1

init1(tenor: Period, couponRate: Real): MakeCreditDefaultSwap

- Defined in ql/instruments/makecds.ts:31
Parameters
- tenor: Period
- couponRate: Real
Returns MakeCreditDefaultSwap

init2

init2(termDate: Date, couponRate: Real): MakeCreditDefaultSwap

- Defined in ql/instruments/makecds.ts:44
Parameters
- termDate: Date
- couponRate: Real
Returns MakeCreditDefaultSwap

withCouponTenor

withCouponTenor(couponTenor: Period): MakeCreditDefaultSwap

- Defined in ql/instruments/makecds.ts:71
Parameters
- couponTenor: Period
Returns MakeCreditDefaultSwap

withDayCounter

withDayCounter(dayCounter: DayCounter): MakeCreditDefaultSwap

- Defined in ql/instruments/makecds.ts:76
Parameters
- dayCounter: DayCounter
Returns MakeCreditDefaultSwap

withLastPeriodDayCounter

withLastPeriodDayCounter(lastPeriodDayCounter: DayCounter): MakeCreditDefaultSwap

- Defined in ql/instruments/makecds.ts:81
Parameters
- lastPeriodDayCounter: DayCounter
Returns MakeCreditDefaultSwap

withNominal

withNominal(nominal: Real): MakeCreditDefaultSwap

- Defined in ql/instruments/makecds.ts:66
Parameters
- nominal: Real
Returns MakeCreditDefaultSwap

withPricingEngine

withPricingEngine(engine: PricingEngine): MakeCreditDefaultSwap

- Defined in ql/instruments/makecds.ts:87
Parameters
- engine: PricingEngine
Returns MakeCreditDefaultSwap

withSide

withSide(side: Side): MakeCreditDefaultSwap

- Defined in ql/instruments/makecds.ts:61
Parameters
- side: Side
Returns MakeCreditDefaultSwap

withUpfrontRate

withUpfrontRate(upfrontRate: Real): MakeCreditDefaultSwap

- Defined in ql/instruments/makecds.ts:56
Parameters
- upfrontRate: Real
Returns MakeCreditDefaultSwap