Credit default swap. More...
#include <ql/instruments/creditdefaultswap.hpp>
Inheritance diagram for CreditDefaultSwap:Public Member Functions | |
Constructors | |
| CreditDefaultSwap (Protection::Side side, Real notional, Rate spread, const Schedule &schedule, BusinessDayConvention paymentConvention, const DayCounter &dayCounter, bool settlesAccrual=true, bool paysAtDefaultTime=true, const Date &protectionStart=Date(), const boost::shared_ptr< Claim > &=boost::shared_ptr< Claim >()) | |
| CDS quoted as running-spread only. More... | |
| CreditDefaultSwap (Protection::Side side, Real notional, Rate upfront, Rate spread, const Schedule &schedule, BusinessDayConvention paymentConvention, const DayCounter &dayCounter, bool settlesAccrual=true, bool paysAtDefaultTime=true, const Date &protectionStart=Date(), const Date &upfrontDate=Date(), const boost::shared_ptr< Claim > &=boost::shared_ptr< Claim >()) | |
| CDS quoted as upfront and running spread. More... | |
Inspectors | |
| Protection::Side | side () const |
| Real | notional () const |
| Rate | runningSpread () const |
| boost::optional< Rate > | upfront () const |
| bool | settlesAccrual () const |
| bool | paysAtDefaultTime () const |
| const Leg & | coupons () const |
| const Date & | protectionStartDate () const |
| The first date for which defaults will trigger the contract. | |
| const Date & | protectionEndDate () const |
| The last date for which defaults will trigger the contract. | |
Results | |
| Rate | fairUpfront () const |
| Rate | fairSpread () const |
| Real | couponLegBPS () const |
| Real | upfrontBPS () const |
| Real | couponLegNPV () const |
| Real | defaultLegNPV () const |
| Real | upfrontNPV () const |
| Rate | impliedHazardRate (Real targetNPV, const Handle< YieldTermStructure > &discountCurve, const DayCounter &dayCounter, Real recoveryRate=0.4, Real accuracy=1.0e-6) const |
| Implied hazard rate calculation. More... | |
| Rate | conventionalSpread (Real conventionalRecovery, const Handle< YieldTermStructure > &discountCurve, const DayCounter &dayCounter) const |
| Conventional/standard upfront-to-spread conversion. More... | |
Public Member Functions inherited from Instrument | |
| Real | NPV () const |
| returns the net present value of the instrument. | |
| Real | errorEstimate () const |
| returns the error estimate on the NPV when available. | |
| const Date & | valuationDate () const |
| returns the date the net present value refers to. | |
| template<typename T > | |
| T | result (const std::string &tag) const |
| returns any additional result returned by the pricing engine. | |
| const std::map< std::string, boost::any > & | additionalResults () const |
| returns all additional result returned by the pricing engine. | |
| void | setPricingEngine (const boost::shared_ptr< PricingEngine > &) |
| set the pricing engine to be used. More... | |
Public Member Functions inherited from LazyObject | |
| void | update () |
| void | recalculate () |
| void | freeze () |
| void | unfreeze () |
Public Member Functions inherited from Observable | |
| Observable (const Observable &) | |
| Observable & | operator= (const Observable &) |
| void | notifyObservers () |
Public Member Functions inherited from Observer | |
| Observer (const Observer &) | |
| Observer & | operator= (const Observer &) |
| std::pair< iterator, bool > | registerWith (const boost::shared_ptr< Observable > &) |
| void | registerWithObservables (const boost::shared_ptr< Observer > &) |
| Size | unregisterWith (const boost::shared_ptr< Observable > &) |
| void | unregisterWithAll () |
Protected Attributes | |
| Protection::Side | side_ |
| Real | notional_ |
| boost::optional< Rate > | upfront_ |
| Rate | runningSpread_ |
| bool | settlesAccrual_ |
| bool | paysAtDefaultTime_ |
| boost::shared_ptr< Claim > | claim_ |
| Leg | leg_ |
| boost::shared_ptr< CashFlow > | upfrontPayment_ |
| Date | protectionStart_ |
| Rate | fairUpfront_ |
| Rate | fairSpread_ |
| Real | couponLegBPS_ |
| Real | couponLegNPV_ |
| Real | upfrontBPS_ |
| Real | upfrontNPV_ |
| Real | defaultLegNPV_ |
Protected Attributes inherited from Instrument | |
| boost::shared_ptr< PricingEngine > | engine_ |
| Real | NPV_ |
| Real | errorEstimate_ |
| Date | valuationDate_ |
| std::map< std::string, boost::any > | additionalResults_ |
Protected Attributes inherited from LazyObject | |
| bool | calculated_ |
| bool | frozen_ |
Instrument interface | |
| bool | isExpired () const |
| returns whether the instrument might have value greater than zero. | |
| void | setupArguments (PricingEngine::arguments *) const |
| void | fetchResults (const PricingEngine::results *) const |
| void | setupExpired () const |
Additional Inherited Members | |
Public Types inherited from Observer | |
| typedef std::set< boost::shared_ptr< Observable > > | set_type |
| typedef set_type::iterator | iterator |
Protected Member Functions inherited from Instrument | |
| void | calculate () const |
| virtual void | performCalculations () const |
Protected Member Functions inherited from LazyObject | |
Credit default swap.
Settings::includeReferenceDateCashFlows() is set to true, payments occurring at the settlement date of the swap might be included in the NPV and therefore affect the fair-spread calculation. This might not be what you want.| CreditDefaultSwap | ( | Protection::Side | side, |
| Real | notional, | ||
| Rate | spread, | ||
| const Schedule & | schedule, | ||
| BusinessDayConvention | paymentConvention, | ||
| const DayCounter & | dayCounter, | ||
| bool | settlesAccrual = true, |
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| bool | paysAtDefaultTime = true, |
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| const Date & | protectionStart = Date(), |
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| const boost::shared_ptr< Claim > & | = boost::shared_ptr< Claim >() |
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| ) |
CDS quoted as running-spread only.
| side | Whether the protection is bought or sold. |
| notional | Notional value |
| spread | Running spread in fractional units. |
| schedule | Coupon schedule. |
| paymentConvention | Business-day convention for payment-date adjustment. |
| dayCounter | Day-count convention for accrual. |
| settlesAccrual | Whether or not the accrued coupon is due in the event of a default. |
| paysAtDefaultTime | If set to true, any payments triggered by a default event are due at default time. If set to false, they are due at the end of the accrual period. |
| protectionStart | The first date where a default event will trigger the contract. |
| CreditDefaultSwap | ( | Protection::Side | side, |
| Real | notional, | ||
| Rate | upfront, | ||
| Rate | spread, | ||
| const Schedule & | schedule, | ||
| BusinessDayConvention | paymentConvention, | ||
| const DayCounter & | dayCounter, | ||
| bool | settlesAccrual = true, |
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| bool | paysAtDefaultTime = true, |
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| const Date & | protectionStart = Date(), |
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| const Date & | upfrontDate = Date(), |
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| const boost::shared_ptr< Claim > & | = boost::shared_ptr< Claim >() |
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| ) |
CDS quoted as upfront and running spread.
| side | Whether the protection is bought or sold. |
| notional | Notional value |
| upfront | Upfront in fractional units. |
| spread | Running spread in fractional units. |
| schedule | Coupon schedule. |
| paymentConvention | Business-day convention for payment-date adjustment. |
| dayCounter | Day-count convention for accrual. |
| settlesAccrual | Whether or not the accrued coupon is due in the event of a default. |
| paysAtDefaultTime | If set to true, any payments triggered by a default event are due at default time. If set to false, they are due at the end of the accrual period. |
| protectionStart | The first date where a default event will trigger the contract. |
| upfrontDate | Settlement date for the upfront payment. |
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virtual |
When a derived argument structure is defined for an instrument, this method should be overridden to fill it. This is mandatory in case a pricing engine is used.
Reimplemented from Instrument.
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virtual |
When a derived result structure is defined for an instrument, this method should be overridden to read from it. This is mandatory in case a pricing engine is used.
Reimplemented from Instrument.
| Rate fairUpfront | ( | ) | const |
Returns the upfront spread that, given the running spread and the quoted recovery rate, will make the instrument have an NPV of 0.
| Rate fairSpread | ( | ) | const |
Returns the running spread that, given the quoted recovery rate, will make the running-only CDS have an NPV of 0.
| Real couponLegBPS | ( | ) | const |
Returns the variation of the fixed-leg value given a one-basis-point change in the running spread.
| Rate impliedHazardRate | ( | Real | targetNPV, |
| const Handle< YieldTermStructure > & | discountCurve, | ||
| const DayCounter & | dayCounter, | ||
| Real | recoveryRate = 0.4, |
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| Real | accuracy = 1.0e-6 |
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| ) | const |
Implied hazard rate calculation.
| Rate conventionalSpread | ( | Real | conventionalRecovery, |
| const Handle< YieldTermStructure > & | discountCurve, | ||
| const DayCounter & | dayCounter | ||
| ) | const |
Conventional/standard upfront-to-spread conversion.
Under a standard ISDA model and a set of standardised instrument characteristics, it is the running only quoted spread that will make a CDS contract have an NPV of 0 when quoted for that running only spread. Refer to: "ISDA Standard CDS converter specification." May 2009.
The conventional recovery rate to apply in the calculation is as specified by ISDA, not necessarily equal to the market-quoted one. It is typically 0.4 for SeniorSec and 0.2 for subordinate.
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protectedvirtual |
This method must leave the instrument in a consistent state when the expiration condition is met.
Reimplemented from Instrument.