quantlib.pricingengines.credit.isda_cds_engine.IsdaCdsEngine

class IsdaCdsEngine(DefaultProbabilityTermStructure ts, double recovery_rate, YieldTermStructure discount_curve, include_settlement_date_flows=None, NumericalFix numerical_fix=NumericalFix.Taylor, AccrualBias accrual_bias=AccrualBias.HalfDayBias, ForwardsInCouponPeriod forwards_in_coupon_period=ForwardsInCouponPeriod.Piecewise)

Bases: PricingEngine

__init__()

constructor where client code is responsible for providing a default curve and an interest curve compliant with the ISDA specifications.

Methods

__init__

constructor where client code is responsible for providing a default curve and an interest curve compliant with the ISDA specifications.

Attributes

isda_credit_curve
isda_rate_curve