Beispiel #1
0
 /// <summary>
 /// The constructor with the accrual-on-default formula specified.
 /// </summary>
 /// <param name="formula">  the accrual-on-default formula </param>
 public CdsMarketQuoteConverter(AccrualOnDefaultFormula formula)
 {
     this.calibrator = new FastCreditCurveCalibrator(formula);
     this.pricer     = new IsdaCdsTradePricer(formula);
 }
Beispiel #2
0
 /// <summary>
 /// Constructor with accrual-on-default formula.
 /// </summary>
 /// <param name="formula">  the accrual-on-default formula </param>
 public SpreadSensitivityCalculator(AccrualOnDefaultFormula formula)
 {
     this.pricer     = new IsdaCdsTradePricer(formula);
     this.calibrator = new FastCreditCurveCalibrator(formula);
 }
Beispiel #3
0
 //-------------------------------------------------------------------------
 /// <summary>
 /// The default constructor.
 /// <para>
 /// The original ISDA accrual-on-default formula (version 1.8.2 and lower) is used.
 /// </para>
 /// </summary>
 public CdsMarketQuoteConverter()
 {
     this.calibrator = FastCreditCurveCalibrator.standard();
     this.pricer     = IsdaCdsTradePricer.DEFAULT;
 }
 protected internal IsdaCompliantCreditCurveCalibrator(AccrualOnDefaultFormula formula, ArbitrageHandling arbHandling)
 {
     this.arbHandling = ArgChecker.notNull(arbHandling, "arbHandling");
     this.formula     = ArgChecker.notNull(formula, "formula");
     this.tradePricer = new IsdaCdsTradePricer(formula);
 }