Linux Certif

Toute la documentation sur la certification Linux LPI

QuantLib_CreditDefaultSwap

NAME

QuantLib::CreditDefaultSwap -

Credit default swap.

SYNOPSIS

#include <ql/instruments/creditdefaultswap.hpp>

Inherits QuantLib::Instrument.

Public Member Functions

Constructors

 

CreditDefaultSwap (Protection::Side side, Real notional, Rate spread, const Schedule &schedule, BusinessDayConvention paymentConvention, const DayCounter &dayCounter, bool settlesAccrual=true, bool paysAtDefaultTime=true, const Date &protectionStart=Date(), const boost::shared_ptr< Claim > &=boost::shared_ptr< Claim >())
CDS quoted as running-spread only.
CreditDefaultSwap (Protection::Side side, Real notional, Rate upfront, Rate spread, const Schedule &schedule, BusinessDayConvention paymentConvention, const DayCounter &dayCounter, bool settlesAccrual=true, bool paysAtDefaultTime=true, const Date &protectionStart=Date(), const Date &upfrontDate=Date(), const boost::shared_ptr< Claim > &=boost::shared_ptr< Claim >())
CDS quoted as upfront and running spread.

Inspectors

 

Protection::Side side () const

Real notional () const

Rate runningSpread () const

boost::optional< Rate > upfront () const

bool settlesAccrual () const

bool paysAtDefaultTime () const

const Leg & coupons () const

const Date & protectionStartDate () const
The first date for which defaults will trigger the contract.
const Date & protectionEndDate () const
The last date for which defaults will trigger the contract.

Results

 

Rate fairUpfront () const

Rate fairSpread () const

Real couponLegBPS () const

Real upfrontBPS () const

Real couponLegNPV () const

Real defaultLegNPV () const

Real upfrontNPV () const

Rate impliedHazardRate (Real targetNPV, const Handle< YieldTermStructure > &discountCurve, const DayCounter &dayCounter, Real recoveryRate=0.4, Real accuracy=1.0e-6) const
Implied hazard rate calculation.
Rate conventionalSpread (Real conventionalRecovery, const Handle< YieldTermStructure > &discountCurve, const DayCounter &dayCounter) const
Conventional/standard upfront-to-spread conversion.

Protected Attributes

Protection::Side side_

Real notional_

boost::optional< Rate > upfront_

Rate runningSpread_

bool settlesAccrual_

bool paysAtDefaultTime_

boost::shared_ptr< Claim > claim_

Leg leg_

boost::shared_ptr< CashFlow > upfrontPayment_

Date protectionStart_

Rate fairUpfront_

Rate fairSpread_

Real couponLegBPS_

Real couponLegNPV_

Real upfrontBPS_

Real upfrontNPV_

Real defaultLegNPV_

Instrument interface

 
bool isExpired () const
returns whether the instrument might have value greater than zero.
void setupArguments (PricingEngine::arguments *) const

void fetchResults (const PricingEngine::results *) const

void setupExpired () const

Detailed Description

Credit default swap.

Note:

This instrument currently assumes that the issuer did not default until today's date.

Warning

if Settings::includeReferenceDateCashFlows() is set to true, payments occurring at the settlement date of the swap might be included in the NPV and therefore affect the fair-spread calculation. This might not be what you want.

Examples:

CDS.cpp.

Constructor & Destructor Documentation

CreditDefaultSwap (Protection::Side side, Real notional, Rate spread, const Schedule & schedule, BusinessDayConvention paymentConvention, const DayCounter & dayCounter, bool settlesAccrual = true, bool paysAtDefaultTime = true, const Date & protectionStart = Date(), const boost::shared_ptr< Claim > & = boost::shared_ptr< Claim >())

CDS quoted as running-spread only. Parameters:

side Whether the protection is bought or sold.
notional Notional value
spread Running spread in fractional units.
schedule Coupon schedule.
paymentConvention Business-day convention for payment-date adjustment.
dayCounter Day-count convention for accrual.
settlesAccrual Whether or not the accrued coupon is due in the event of a default.
paysAtDefaultTime If set to true, any payments triggered by a default event are due at default time. If set to false, they are due at the end of the accrual period.
protectionStart The first date where a default event will trigger the contract.

CreditDefaultSwap (Protection::Side side, Real notional, Rate upfront, Rate spread, const Schedule & schedule, BusinessDayConvention paymentConvention, const DayCounter & dayCounter, bool settlesAccrual = true, bool paysAtDefaultTime = true, const Date & protectionStart = Date(), const Date & upfrontDate = Date(), const boost::shared_ptr< Claim > & = boost::shared_ptr< Claim >())

CDS quoted as upfront and running spread. Parameters:

side Whether the protection is bought or sold.
notional Notional value
upfront Upfront in fractional units.
spread Running spread in fractional units.
schedule Coupon schedule.
paymentConvention Business-day convention for payment-date adjustment.
dayCounter Day-count convention for accrual.
settlesAccrual Whether or not the accrued coupon is due in the event of a default.
paysAtDefaultTime If set to true, any payments triggered by a default event are due at default time. If set to false, they are due at the end of the accrual period.
protectionStart The first date where a default event will trigger the contract.
upfrontDate Settlement date for the upfront payment.

Member Function Documentation

void setupArguments (PricingEngine::arguments *) const [virtual]When a derived argument structure is defined for an instrument, this method should be overridden to fill it. This is mandatory in case a pricing engine is used.

Reimplemented from Instrument.

void fetchResults (const PricingEngine::results * r) const [virtual]When a derived result structure is defined for an instrument, this method should be overridden to read from it. This is mandatory in case a pricing engine is used.

Reimplemented from Instrument.

Rate fairUpfront () constReturns the upfront spread that, given the running spread and the quoted recovery rate, will make the instrument have an NPV of 0.

Rate fairSpread () constReturns the running spread that, given the quoted recovery rate, will make the running-only CDS have an NPV of 0.

Note:

This calculation does not take any upfront into account, even if one was given.

Real couponLegBPS () constReturns the variation of the fixed-leg value given a one-basis-point change in the running spread.

Rate impliedHazardRate (Real targetNPV, const Handle< YieldTermStructure > & discountCurve, const DayCounter & dayCounter, Real recoveryRate = 0.4, Real accuracy = 1.0e-6) const

Implied hazard rate calculation. Note:

This method performs the calculation with the instrument characteristics. It will coincide with the ISDA calculation if your object has the standard characteristics. Notably:

*

The calendar should have no bank holidays, just weekends.

*

The yield curve should be LIBOR piecewise constant in fwd rates, with a discount factor of 1 on the calculation date, which coincides with the trade date.

*

Convention should be Following for yield curve and contract cashflows.

*

The CDS should pay accrued and mature on standard IMM dates, settle on trade date +1 and upfront settle on trade date +3.

Rate conventionalSpread (Real conventionalRecovery, const Handle< YieldTermStructure > & discountCurve, const DayCounter & dayCounter) const

Conventional/standard upfront-to-spread conversion. Under a standard ISDA model and a set of standardised instrument characteristics, it is the running only quoted spread that will make a CDS contract have an NPV of 0 when quoted for that running only spread. Refer to: 'ISDA
            Standard CDS converter specification.' May 2009.

The conventional recovery rate to apply in the calculation is as specified by ISDA, not necessarily equal to the market-quoted one. It is typically 0.4 for SeniorSec and 0.2 for subordinate.

Note:

The conversion employs a flat hazard rate. As a result, you will not recover the market quotes.
This method performs the calculation with the instrument characteristics. It will coincide with the ISDA calculation if your object has the standard characteristics. Notably:

*

The calendar should have no bank holidays, just weekends.

*

The yield curve should be LIBOR piecewise constant in fwd rates, with a discount factor of 1 on the calculation date, which coincides with the trade date.

*

Convention should be Following for yield curve and contract cashflows.

*

The CDS should pay accrued and mature on standard IMM dates, settle on trade date +1 and upfront settle on trade date +3.

void setupExpired () const [protected, virtual]This method must leave the instrument in a consistent state when the expiration condition is met.

Reimplemented from Instrument.

Author

Generated automatically by Doxygen for QuantLib from the source code.