quantlib.pricingengines.credit.midpoint_cds_engine.MidPointCdsEngine¶
- class MidPointCdsEngine(DefaultProbabilityTermStructure ts, double recovery_rate, YieldTermStructure discount_curve, include_settlement_date_flows=None)¶
Bases:
PricingEngine- __init__()¶
First argument should be a DefaultProbabilityTermStructure. Using the PiecewiseDefaultCurve at the moment.
Methods
First argument should be a DefaultProbabilityTermStructure.