quantlib.termstructures.credit.default_probability_helpers.

CdsHelper

class CdsHelper

Bases: DefaultProbabilityHelper

Base default-probability bootstrap helper

Parameters:
tenorPeriod

CDS tenor.

frequencyFrequency

Coupon frequency.

settlementDaysInteger

The number of days from today’s date to the start of the protection period.

paymentConventionBusinessDayConvention

The payment convention applied to coupons schedules, settlement dates and protection period calculations.

Attributes:
implied_quote
latest_date
quote

Methods

set_term_structure(self, ...)

swap(self)