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:
CdsHelperSpread-quoted CDS hazard rate bootstrap helper.
- Parameters:
- running_spreadfloat
Running spread of the CDS.
- tenor
Period CDS tenor.
- settlementDaysint
The number of days from today’s date to the start of the protection period.
- calendar: :class:`~quantlib.time.calendar.Calendar`
- frequencyFrequency
Coupon frequency.
- payment_conventionint
The payment convention applied to coupons schedules, settlement dates and protection period calculations.
- date_generation_ruleint
- daycounter
DayCounter - recovery_ratefloat
- discount_curve
YieldTermStructure - settles_accrualbool, optional
- pays_at_default_timebool, optional
- start_date: :class:`~quantlib.time.date.Date`
- lastperiod: :class:`~quantlib.time.daycounter.DayCounter`
- rebates_accrualbool
- Attributes:
- implied_quote
- latest_date
- quote
Methods
set_term_structure(self, ...)swap(self)