com.github.vonrosen.quantlib

Class CreditDefaultSwap

java.lang.Object

com.github.vonrosen.quantlib.Instrument

com.github.vonrosen.quantlib.CreditDefaultSwap

public class CreditDefaultSwap
extends Instrument

Field Summary

Fields inherited from class com.github.vonrosen.quantlib.Instrument

swigCMemOwn

Constructor Summary

Constructors

Modifier	Constructor and Description
protected	CreditDefaultSwap(long cPtr, boolean cMemoryOwn)
	CreditDefaultSwap(Protection.Side side, double notional, double upfront, double spread, Schedule schedule, BusinessDayConvention paymentConvention, DayCounter dayCounter)
	CreditDefaultSwap(Protection.Side side, double notional, double upfront, double spread, Schedule schedule, BusinessDayConvention paymentConvention, DayCounter dayCounter, boolean settlesAccrual)
	CreditDefaultSwap(Protection.Side side, double notional, double upfront, double spread, Schedule schedule, BusinessDayConvention paymentConvention, DayCounter dayCounter, boolean settlesAccrual, boolean paysAtDefaultTime)
	CreditDefaultSwap(Protection.Side side, double notional, double spread, Schedule schedule, BusinessDayConvention paymentConvention, DayCounter dayCounter)
	CreditDefaultSwap(Protection.Side side, double notional, double spread, Schedule schedule, BusinessDayConvention paymentConvention, DayCounter dayCounter, boolean settlesAccrual)
	CreditDefaultSwap(Protection.Side side, double notional, double spread, Schedule schedule, BusinessDayConvention paymentConvention, DayCounter dayCounter, boolean settlesAccrual, boolean paysAtDefaultTime)

Method Summary

Modifier and Type	Method and Description
double	couponLegBPS()
double	couponLegNPV()
Leg	coupons()
double	defaultLegNPV()
void	delete()
double	fairSpread()
double	fairUpfront()
protected void	finalize()
protected static long	getCPtr(CreditDefaultSwap obj)
double	impliedHazardRate(double targetNPV, YieldTermStructureHandle discountCurve, DayCounter dayCounter)
double	impliedHazardRate(double targetNPV, YieldTermStructureHandle discountCurve, DayCounter dayCounter, double recoveryRate)
double	impliedHazardRate(double targetNPV, YieldTermStructureHandle discountCurve, DayCounter dayCounter, double recoveryRate, double accuracy)
double	notional()
boolean	paysAtDefaultTime()
double	runningSpread()
boolean	settlesAccrual()
Protection.Side	side()
double	upfront()
double	upfrontBPS()
double	upfrontNPV()

Methods inherited from class com.github.vonrosen.quantlib.Instrument

__deref__, asObservable, errorEstimate, freeze, getCPtr, isExpired, isNull, NPV, recalculate, setPricingEngine, unfreeze

Methods inherited from class java.lang.Object

clone, equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

CreditDefaultSwap

protected CreditDefaultSwap(long cPtr,
                            boolean cMemoryOwn)

CreditDefaultSwap

public CreditDefaultSwap(Protection.Side side,
                         double notional,
                         double spread,
                         Schedule schedule,
                         BusinessDayConvention paymentConvention,
                         DayCounter dayCounter,
                         boolean settlesAccrual,
                         boolean paysAtDefaultTime)

CreditDefaultSwap

public CreditDefaultSwap(Protection.Side side,
                         double notional,
                         double spread,
                         Schedule schedule,
                         BusinessDayConvention paymentConvention,
                         DayCounter dayCounter,
                         boolean settlesAccrual)

CreditDefaultSwap

public CreditDefaultSwap(Protection.Side side,
                         double notional,
                         double spread,
                         Schedule schedule,
                         BusinessDayConvention paymentConvention,
                         DayCounter dayCounter)

CreditDefaultSwap

public CreditDefaultSwap(Protection.Side side,
                         double notional,
                         double upfront,
                         double spread,
                         Schedule schedule,
                         BusinessDayConvention paymentConvention,
                         DayCounter dayCounter,
                         boolean settlesAccrual,
                         boolean paysAtDefaultTime)

CreditDefaultSwap

public CreditDefaultSwap(Protection.Side side,
                         double notional,
                         double upfront,
                         double spread,
                         Schedule schedule,
                         BusinessDayConvention paymentConvention,
                         DayCounter dayCounter,
                         boolean settlesAccrual)

CreditDefaultSwap

public CreditDefaultSwap(Protection.Side side,
                         double notional,
                         double upfront,
                         double spread,
                         Schedule schedule,
                         BusinessDayConvention paymentConvention,
                         DayCounter dayCounter)

Method Detail

getCPtr

protected static long getCPtr(CreditDefaultSwap obj)

finalize

protected void finalize()

Overrides:

finalize in class Instrument

delete

public void delete()

Overrides:

delete in class Instrument

side

public Protection.Side side()

notional

public double notional()

runningSpread

public double runningSpread()

upfront

public double upfront()

settlesAccrual

public boolean settlesAccrual()

paysAtDefaultTime

public boolean paysAtDefaultTime()

fairSpread

public double fairSpread()

fairUpfront

public double fairUpfront()

couponLegBPS

public double couponLegBPS()

couponLegNPV

public double couponLegNPV()

defaultLegNPV

public double defaultLegNPV()

upfrontBPS

public double upfrontBPS()

upfrontNPV

public double upfrontNPV()

impliedHazardRate

public double impliedHazardRate(double targetNPV,
                                YieldTermStructureHandle discountCurve,
                                DayCounter dayCounter,
                                double recoveryRate,
                                double accuracy)

impliedHazardRate

public double impliedHazardRate(double targetNPV,
                                YieldTermStructureHandle discountCurve,
                                DayCounter dayCounter,
                                double recoveryRate)

impliedHazardRate

public double impliedHazardRate(double targetNPV,
                                YieldTermStructureHandle discountCurve,
                                DayCounter dayCounter)

coupons

public Leg coupons()