IsdaCdsEngine | quantlib.js

References:

[1] The Pricing and Risk Management of Credit Default Swaps, with a Focus on the ISDA Model, OpenGamma Quantitative Research, Version as of 15-Oct-2013

[2] ISDA CDS Standard Model Proposed Numerical Fix \ Thursday, November 15, 2012, Markit

[3] Markit Interest Rate Curve XML Specifications, Version 1.16, Tuesday, 15 October 2013

Hierarchy

engine
- IsdaCdsEngine

Implements

Index

Enumerations

Constructors

constructor

Methods

Constructors

constructor

new IsdaCdsEngine(probability: Handle<DefaultProbabilityTermStructure>, recoveryRate: Real, discountCurve: Handle<YieldTermStructure>, includeSettlementDateFlows?: boolean, numericalFix?: NumericalFix, accrualBias?: AccrualBias, forwardsInCouponPeriod?: ForwardsInCouponPeriod): IsdaCdsEngine

Overrides engine.constructor
- Defined in ql/pricingengines/credit/isdacdsengine.ts:46
Parameters
- probability: Handle<DefaultProbabilityTermStructure>
- recoveryRate: Real
- discountCurve: Handle<YieldTermStructure>
- Default value includeSettlementDateFlows: boolean = null
- Default value numericalFix: NumericalFix = IsdaCdsEngine.NumericalFix.Taylor
- Default value accrualBias: AccrualBias = IsdaCdsEngine.AccrualBias.HalfDayBias
- Default value forwardsInCouponPeriod: ForwardsInCouponPeriod = IsdaCdsEngine.ForwardsInCouponPeriod.Piecewise
Returns IsdaCdsEngine

Properties

Private _accrualBias

_accrualBias: AccrualBias

_arguments

_arguments: Arguments

Private _discountCurve

_discountCurve: Handle<YieldTermStructure>

Private _forwardsInCouponPeriod

_forwardsInCouponPeriod: ForwardsInCouponPeriod

Private _includeSettlementDateFlows

_includeSettlementDateFlows: boolean

_isDisposed

_isDisposed: boolean = false

Private _numericalFix

_numericalFix: NumericalFix

_observables

_observables: Set<Observable> = new Set()

_observers

_observers: Set<Observer> = new Set()

Private _probability

_probability: Handle<DefaultProbabilityTermStructure>

Private _recoveryRate

_recoveryRate: Real

_results

_results: Results

deepUpdate

deepUpdate: () => void

Type declaration

- (): void
- Returns void

dispose

dispose: () => void

Type declaration

- (): void
- Returns void

isDisposed

isDisposed: boolean

notifyObservers

notifyObservers: () => void

Type declaration

- (): void
- Returns void

registerObserver

registerObserver: (o: Observer) => void

Type declaration

- (o: Observer): void
- Parameters
  - o: Observer
  Returns void

registerWith

registerWith: (h: Observable) => void

Type declaration

- (h: Observable): void
- Parameters
  - h: Observable
  Returns void

registerWithObservables

registerWithObservables: (o: Observer) => void

Type declaration

- (o: Observer): void
- Parameters
  - o: Observer
  Returns void

unregisterObserver

unregisterObserver: (o: Observer) => void

Type declaration

- (o: Observer): void
- Parameters
  - o: Observer
  Returns void

unregisterWith

unregisterWith: (h: Observable) => Size

Type declaration

- (h: Observable): Size
- Parameters
  - h: Observable
  Returns Size

unregisterWithAll

unregisterWithAll: () => void

Type declaration

- (): void
- Returns void

Methods

calculate

calculate(): void

Overrides PricingEngineObserver.calculate
- Defined in ql/pricingengines/credit/isdacdsengine.ts:78
Returns void

getArguments

getArguments(): Arguments

Inherited from GenericEngine.getArguments

Overrides PricingEngineObserver.getArguments
- Defined in ql/genericengine.ts:17
Returns Arguments

getResults

getResults(): Results

Inherited from GenericEngine.getResults

Overrides PricingEngineObserver.getResults
- Defined in ql/genericengine.ts:21
Returns Results

isdaCreditCurve

isdaCreditCurve(): Handle<DefaultProbabilityTermStructure>

- Defined in ql/pricingengines/credit/isdacdsengine.ts:74
Returns Handle<DefaultProbabilityTermStructure>

isdaRateCurve

isdaRateCurve(): Handle<YieldTermStructure>

- Defined in ql/pricingengines/credit/isdacdsengine.ts:70
Returns Handle<YieldTermStructure>

reset

reset(): void

Inherited from GenericEngine.reset

Overrides PricingEngineObserver.reset
- Defined in ql/genericengine.ts:25
Returns void

update

update(): void

Inherited from GenericEngine.update

Overrides PricingEngineObserver.update
- Defined in ql/genericengine.ts:29
Returns void

Hierarchy

Implements

Index

Enumerations

Constructors

Properties

Methods

Constructors

constructor

Parameters

probability: Handle<DefaultProbabilityTermStructure>

recoveryRate: Real

discountCurve: Handle<YieldTermStructure>

Default value includeSettlementDateFlows: boolean = null

Default value numericalFix: NumericalFix = IsdaCdsEngine.NumericalFix.Taylor

Default value accrualBias: AccrualBias = IsdaCdsEngine.AccrualBias.HalfDayBias

Default value forwardsInCouponPeriod: ForwardsInCouponPeriod = IsdaCdsEngine.ForwardsInCouponPeriod.Piecewise

Returns IsdaCdsEngine

Properties

Private _accrualBias

_arguments

Private _discountCurve

Private _forwardsInCouponPeriod

Private _includeSettlementDateFlows

_isDisposed

Private _numericalFix

_observables

_observers

Private _probability

Private _recoveryRate

_results

deepUpdate

Type declaration

Returns void

dispose

Type declaration

Returns void

isDisposed

notifyObservers

Type declaration

Returns void

registerObserver

Type declaration

Parameters

o: Observer

Returns void

registerWith

Type declaration

Parameters

h: Observable

Returns void

registerWithObservables

Type declaration

Parameters

o: Observer

Returns void

unregisterObserver

Type declaration

Parameters

o: Observer

Returns void

unregisterWith

Type declaration

Parameters

h: Observable

Returns Size

unregisterWithAll

Type declaration

Returns void

Methods

calculate

Returns void

getArguments

Returns Arguments

getResults

Returns Results

isdaCreditCurve

Returns Handle<DefaultProbabilityTermStructure>

isdaRateCurve

Returns Handle<YieldTermStructure>