quantlib.termstructures.credit.default_probability_helpers.CdsHelper

class CdsHelper

Bases: DefaultProbabilityHelper

Base default-probability bootstrap helper

Parameters:

  • tenor (Period) – CDS tenor.

  • frequency (Frequency) – Coupon frequency.

  • settlementDays (Integer) – The number of days from today’s date to the start of the protection period.

  • paymentConvention (BusinessDayConvention) – The payment convention applied to coupons schedules, settlement dates and protection period calculations.

__init__()

Methods

__init__()

set_term_structure(self, ...)

swap(self)

Attributes

implied_quote

latest_date

quote

set_term_structure(self, DefaultProbabilityTermStructure ts)
swap(self)