/// <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);
}
/// <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);
}
//-------------------------------------------------------------------------
/// <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);
}
