quantlib.termstructures.credit.default_probability_helpers.SpreadCdsHelper

class SpreadCdsHelper(running_spread, Period tenor, Integer settlement_days, Calendar calendar, int frequency, int paymentConvention, DateGeneration date_generation_rule, DayCounter daycounter, Real recovery_rate, HandleYieldTermStructure discount_curve=HandleYieldTermStructure(), bool settles_accrual=True, bool pays_at_default_time=True, Date start_date=Date(), DayCounter lastperiod=DayCounter(), bool rebates_accrual=True, bool use_isda_engine=True, PricingModel model=PricingModel.ISDA)

Bases: CdsHelper

Spread-quoted CDS hazard rate bootstrap helper.

Parameters:

  • running_spread (float) – Running spread of the CDS.

  • tenor (Period) – CDS tenor.

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

  • calendar (Calendar)

  • frequency (Frequency) – Coupon frequency.

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

  • date_generation_rule (int)

  • daycounter (DayCounter)

  • recovery_rate (float)

  • discount_curve (YieldTermStructure)

  • settles_accrual (bool, optional)

  • pays_at_default_time (bool, optional)

  • start_date (Date)

  • lastperiod (DayCounter)

  • rebates_accrual (bool)

__init__()

Methods

__init__

set_term_structure(self, ...)

swap(self)

Attributes

implied_quote

latest_date

quote