quantlib.termstructures.credit.default_probability_helpers.
CdsHelper¶
- class CdsHelper¶
Bases:
DefaultProbabilityHelper
Base default-probability bootstrap helper
- Parameters:
- tenor
Period
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.
- tenor
- Attributes:
- implied_quote
- latest_date
- quote
Methods
set_term_structure
(self, ...)swap
(self)