CdsHelper | quantlib.js

Base default-probability bootstrap helper

param: CDS tenor.
param: Coupon frequency.
param: The number of days from today's date to the start of the protection period. Does not refer to initial cash settlements (upfront and/or rebates) which are typically on T+3
param: The payment convention applied to coupons schedules, settlement dates and protection period calculations.

Hierarchy

RelativeDateBootstrapHelper
- CdsHelper
  - SpreadCdsHelper
  - UpfrontCdsHelper

Implements

Index

Properties

Protected _calendar

_calendar: Calendar

Protected _dayCounter

_dayCounter: DayCounter

Protected _discountCurve

_discountCurve: Handle<YieldTermStructure>

Protected _earliestDate

_earliestDate: Date

Protected _evaluationDate

_evaluationDate: Date

Protected _frequency

_frequency: Frequency

_isDisposed

_isDisposed: boolean = false

Protected _lastPeriodDC

_lastPeriodDC: DayCounter

Protected _latestDate

_latestDate: Date

Protected _latestRelevantDate

_latestRelevantDate: Date

Protected _maturityDate

_maturityDate: Date

Protected _model

_model: PricingModel

_observables

_observables: Set<Observable> = new Set()

_observers

_observers: Set<Observer> = new Set()

Protected _paymentConvention

_paymentConvention: BusinessDayConvention

Protected _paysAtDefaultTime

_paysAtDefaultTime: boolean

Protected _pillarDate

_pillarDate: Date

Protected _probability

_probability: RelinkableHandle<DefaultProbabilityTermStructure> = new RelinkableHandle()

Protected _protectionStart

_protectionStart: Date

Protected _quote

_quote: Handle<Quote>

Protected _rebatesAccrual

_rebatesAccrual: boolean

Protected _recoveryRate

_recoveryRate: Real

Protected _rule

_rule: Rule

Protected _schedule

_schedule: Schedule

Protected _settlementDays

_settlementDays: Integer

Protected _settlesAccrual

_settlesAccrual: boolean

Protected _startDate

_startDate: Date

Protected _swap

_swap: CreditDefaultSwap

Protected _tenor

_tenor: Period

Protected _termStructure

_termStructure: Curve

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

accept

accept(v: AcyclicVisitor): void

Inherited from BootstrapHelper.accept
- Defined in ql/termstructures/bootstraphelper.ts:137
Parameters
- v: AcyclicVisitor
Returns void

bshInit1

bshInit1(quote: Handle<Quote>): BootstrapHelper

Inherited from BootstrapHelper.bshInit1
- Defined in ql/termstructures/bootstraphelper.ts:42
Parameters
- quote: Handle<Quote>
Returns BootstrapHelper

bshInit2

bshInit2(quote: Real): BootstrapHelper

Inherited from BootstrapHelper.bshInit2
- Defined in ql/termstructures/bootstraphelper.ts:50
Parameters
- quote: Real
Returns BootstrapHelper

cdshInit1

cdshInit1(quote: Handle<Quote>, tenor: Period, settlementDays: Integer, calendar: Calendar, frequency: Frequency, paymentConvention: BusinessDayConvention, rule: Rule, dayCounter: DayCounter, recoveryRate: Real, discountCurve: Handle<YieldTermStructure>, settlesAccrual?: boolean, paysAtDefaultTime?: boolean, startDate?: Date, lastPeriodDayCounter?: DayCounter, rebatesAccrual?: boolean, model?: PricingModel): CdsHelper

- Defined in ql/termstructures/credit/defaultprobabilityhelpers.ts:49
Parameters
- quote: Handle<Quote>
- tenor: Period
- settlementDays: Integer
- calendar: Calendar
- frequency: Frequency
- paymentConvention: BusinessDayConvention
- rule: Rule
- dayCounter: DayCounter
- recoveryRate: Real
- discountCurve: Handle<YieldTermStructure>
- Default value settlesAccrual: boolean = true
- Default value paysAtDefaultTime: boolean = true
- Default value startDate: Date = null
- Default value lastPeriodDayCounter: DayCounter = new DayCounter()
- Default value rebatesAccrual: boolean = true
- Default value model: PricingModel = CreditDefaultSwap.PricingModel.Midpoint
Returns CdsHelper

cdshInit2

cdshInit2(quote: Rate, tenor: Period, settlementDays: Integer, calendar: Calendar, frequency: Frequency, paymentConvention: BusinessDayConvention, rule: Rule, dayCounter: DayCounter, recoveryRate: Real, discountCurve: Handle<YieldTermStructure>, settlesAccrual?: boolean, paysAtDefaultTime?: boolean, startDate?: Date, lastPeriodDayCounter?: DayCounter, rebatesAccrual?: boolean, model?: PricingModel): CdsHelper

- Defined in ql/termstructures/credit/defaultprobabilityhelpers.ts:85
Parameters
- quote: Rate
- tenor: Period
- settlementDays: Integer
- calendar: Calendar
- frequency: Frequency
- paymentConvention: BusinessDayConvention
- rule: Rule
- dayCounter: DayCounter
- recoveryRate: Real
- discountCurve: Handle<YieldTermStructure>
- Default value settlesAccrual: boolean = true
- Default value paysAtDefaultTime: boolean = true
- Default value startDate: Date = null
- Default value lastPeriodDayCounter: DayCounter = new DayCounter()
- Default value rebatesAccrual: boolean = true
- Default value model: PricingModel = CreditDefaultSwap.PricingModel.Midpoint
Returns CdsHelper

deepUpdate

deepUpdate(): void

Inherited from ObserverObservable.deepUpdate
- Defined in mixins/ql/patterns/observerobservable.ts:23
Returns void

earliestDate

earliestDate(): Date

Inherited from BootstrapHelper.earliestDate
- Defined in ql/termstructures/bootstraphelper.ts:93
earliest relevant date

The earliest date at which data are needed by the helper in order to provide a quote.

Returns Date

impliedQuote

impliedQuote(): Real

Inherited from BootstrapHelper.impliedQuote
- Defined in ql/termstructures/bootstraphelper.ts:60
Returns Real

Protected initializeDates

initializeDates(): void

Overrides RelativeDateBootstrapHelper.initializeDates
- Defined in ql/termstructures/credit/defaultprobabilityhelpers.ts:132
Returns void

latestDate

latestDate(): Date

Inherited from BootstrapHelper.latestDate
- Defined in ql/termstructures/bootstraphelper.ts:126
Returns Date

latestRelevantDate

latestRelevantDate(): Date

Inherited from BootstrapHelper.latestRelevantDate
- Defined in ql/termstructures/bootstraphelper.ts:112
latest relevant date

The latest date at which data are needed by the helper in order to provide a quote. It does not necessarily equal the maturity of the underlying instrument.

Returns Date

maturityDate

maturityDate(): Date

Inherited from BootstrapHelper.maturityDate
- Defined in ql/termstructures/bootstraphelper.ts:98
instrument's maturity date

Returns Date

pillarDate

pillarDate(): Date

Inherited from BootstrapHelper.pillarDate
- Defined in ql/termstructures/bootstraphelper.ts:119
Returns Date

quote

quote(): Handle<Quote>

Inherited from BootstrapHelper.quote
- Defined in ql/termstructures/bootstraphelper.ts:56
Returns Handle<Quote>

quoteError

quoteError(): Real

Inherited from BootstrapHelper.quoteError
- Defined in ql/termstructures/bootstraphelper.ts:64
Returns Real

rdbshInit1

rdbshInit1(quote: Handle<Quote>): void

Inherited from RelativeDateBootstrapHelper.rdbshInit1
- Defined in ql/termstructures/bootstraphelper.ts:165
Parameters
- quote: Handle<Quote>
Returns void

rdbshInit2

rdbshInit2(quote: Real): void

Inherited from RelativeDateBootstrapHelper.rdbshInit2
- Defined in ql/termstructures/bootstraphelper.ts:172
Parameters
- quote: Real
Returns void

Protected resetEngine

resetEngine(): void

- Defined in ql/termstructures/credit/defaultprobabilityhelpers.ts:176
Returns void

setTermStructure

setTermStructure(ts: DefaultProbabilityTermStructure): void

Overrides BootstrapHelper.setTermStructure
- Defined in ql/termstructures/credit/defaultprobabilityhelpers.ts:119
Parameters
- ts: DefaultProbabilityTermStructure
Returns void

update

update(): void

Overrides RelativeDateBootstrapHelper.update
- Defined in ql/termstructures/credit/defaultprobabilityhelpers.ts:127
Returns void

Hierarchy

Implements

Index

Properties

Methods

Properties

Protected _calendar

Protected _dayCounter

Protected _discountCurve

Protected _earliestDate

Protected _evaluationDate

Protected _frequency

_isDisposed

Protected _lastPeriodDC

Protected _latestDate

Protected _latestRelevantDate

Protected _maturityDate

Protected _model

_observables

_observers

Protected _paymentConvention

Protected _paysAtDefaultTime

Protected _pillarDate

Protected _probability

Protected _protectionStart

Protected _quote

Protected _rebatesAccrual

Protected _recoveryRate

Protected _rule

Protected _schedule

Protected _settlementDays

Protected _settlesAccrual

Protected _startDate

Protected _swap

Protected _tenor

Protected _termStructure

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

accept

Parameters

v: AcyclicVisitor

Returns void

bshInit1

Parameters

quote: Handle<Quote>

Returns BootstrapHelper