/*! \note the upfront must be quoted in fractional units. */
public UpfrontCdsHelper(double upfront,
double runningSpread,
Period tenor,
int settlementDays,
Calendar calendar,
Frequency frequency,
BusinessDayConvention paymentConvention,
DateGeneration.Rule rule,
DayCounter dayCounter,
double recoveryRate,
Handle <YieldTermStructure> discountCurve,
int upfrontSettlementDays = 0,
bool settlesAccrual = true,
bool paysAtDefaultTime = true,
Date startDate = null,
DayCounter lastPeriodDayCounter = null,
bool rebatesAccrual = true,
CreditDefaultSwap.PricingModel model =
CreditDefaultSwap.PricingModel.Midpoint)
: base(upfront, tenor, settlementDays, calendar,
frequency, paymentConvention, rule, dayCounter,
recoveryRate, discountCurve, settlesAccrual, paysAtDefaultTime,
startDate, lastPeriodDayCounter, rebatesAccrual, model)
{
upfrontSettlementDays_ = upfrontSettlementDays;
runningSpread_ = runningSpread;
initializeDates();
}
public SpreadCdsHelper(double runningSpread,
Period tenor,
int settlementDays, // ISDA: 1
Calendar calendar,
Frequency frequency, // ISDA: Quarterly
BusinessDayConvention paymentConvention, //ISDA:Following
DateGeneration.Rule rule, // ISDA: CDS
DayCounter dayCounter, // ISDA: Actual/360
double recoveryRate,
Handle <YieldTermStructure> discountCurve,
bool settlesAccrual = true,
bool paysAtDefaultTime = true,
Date startDate = null,
DayCounter lastPeriodDayCounter = null, // ISDA: Actual/360(inc)
bool rebatesAccrual = true, // ISDA: true
CreditDefaultSwap.PricingModel model = CreditDefaultSwap.PricingModel.Midpoint)
: base(runningSpread, tenor, settlementDays, calendar,
frequency, paymentConvention, rule, dayCounter,
recoveryRate, discountCurve, settlesAccrual, paysAtDefaultTime,
startDate, lastPeriodDayCounter, rebatesAccrual, model)
{
}
public CdsHelper(double quote,
Period tenor,
int settlementDays,
Calendar calendar,
Frequency frequency,
BusinessDayConvention paymentConvention,
DateGeneration.Rule rule,
DayCounter dayCounter,
double recoveryRate,
Handle <YieldTermStructure> discountCurve,
bool settlesAccrual = true,
bool paysAtDefaultTime = true,
Date startDate = null,
DayCounter lastPeriodDayCounter = null,
bool rebatesAccrual = true,
CreditDefaultSwap.PricingModel model = CreditDefaultSwap.PricingModel.Midpoint)
: base(quote)
{
tenor_ = tenor;
settlementDays_ = settlementDays;
calendar_ = calendar;
frequency_ = frequency;
paymentConvention_ = paymentConvention;
rule_ = rule;
dayCounter_ = dayCounter;
recoveryRate_ = recoveryRate;
discountCurve_ = discountCurve;
settlesAccrual_ = settlesAccrual;
paysAtDefaultTime_ = paysAtDefaultTime;
lastPeriodDC_ = lastPeriodDayCounter;
rebatesAccrual_ = rebatesAccrual;
model_ = model;
startDate_ = startDate;
schedule_ = new Schedule();
initializeDates();
discountCurve_.registerWith(update);
}
public double impliedHazardRate(double targetNPV, YieldTermStructureHandle discountCurve, DayCounter dayCounter, double recoveryRate, double accuracy, CreditDefaultSwap.PricingModel model)
{
double ret = NQuantLibcPINVOKE.CreditDefaultSwap_impliedHazardRate__SWIG_0(swigCPtr, targetNPV, YieldTermStructureHandle.getCPtr(discountCurve), DayCounter.getCPtr(dayCounter), recoveryRate, accuracy, (int)model);
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
return(ret);
}
