quantlib.termstructures.credit.default_probability_helpers.UpfrontCdsHelper

class UpfrontCdsHelper(upfront, Rate running_spread, Period tenor, Integer settlement_days, Calendar calendar, int frequency, int paymentConvention, DateGeneration rule, DayCounter daycounter, Real recovery_rate, YieldTermStructure discount_curve=YieldTermStructure(), Natural upfront_settlement_days=3, bool settles_accrual=True, bool pays_at_default_time=True, Date start_date=Date(), DayCounter lastperiod=DayCounter(), bool rebates_accrual=True, PricingModel model=PricingModel.ISDA)

Bases: CdsHelper

Upfront+running-quoted CDS hazard rate bootstrap helper.

__init__()

Methods

__init__
set_term_structure(self, ...)
swap(self)

Attributes

implied_quote
latest_date
quote