Module io.github.ralfkonrad.quantlib

Package org.quantlib

Class CreditDefaultSwap

java.lang.Object

org.quantlib.Observable

org.quantlib.LazyObject

org.quantlib.Instrument

org.quantlib.CreditDefaultSwap

All Implemented Interfaces:

AutoCloseable, org.quantlib.helpers.QuantLibJNIHelpers.AutoCloseable

public class CreditDefaultSwap
extends Instrument
implements org.quantlib.helpers.QuantLibJNIHelpers.AutoCloseable

Nested Class Summary

Nested Classes

Modifier and Type	Class	Description
static class	CreditDefaultSwap.PricingModel

Constructor Summary

Constructors

Modifier	Constructor	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 upfront, double spread, Schedule schedule, BusinessDayConvention paymentConvention, DayCounter dayCounter, boolean settlesAccrual, boolean paysAtDefaultTime, Date protectionStart)
	CreditDefaultSwap(Protection.Side side, double notional, double upfront, double spread, Schedule schedule, BusinessDayConvention paymentConvention, DayCounter dayCounter, boolean settlesAccrual, boolean paysAtDefaultTime, Date protectionStart, Date upfrontDate)
	CreditDefaultSwap(Protection.Side side, double notional, double upfront, double spread, Schedule schedule, BusinessDayConvention paymentConvention, DayCounter dayCounter, boolean settlesAccrual, boolean paysAtDefaultTime, Date protectionStart, Date upfrontDate, Claim claim)
	CreditDefaultSwap(Protection.Side side, double notional, double upfront, double spread, Schedule schedule, BusinessDayConvention paymentConvention, DayCounter dayCounter, boolean settlesAccrual, boolean paysAtDefaultTime, Date protectionStart, Date upfrontDate, Claim claim, DayCounter lastPeriodDayCounter)
	CreditDefaultSwap(Protection.Side side, double notional, double upfront, double spread, Schedule schedule, BusinessDayConvention paymentConvention, DayCounter dayCounter, boolean settlesAccrual, boolean paysAtDefaultTime, Date protectionStart, Date upfrontDate, Claim claim, DayCounter lastPeriodDayCounter, boolean rebatesAccrual)
	CreditDefaultSwap(Protection.Side side, double notional, double upfront, double spread, Schedule schedule, BusinessDayConvention paymentConvention, DayCounter dayCounter, boolean settlesAccrual, boolean paysAtDefaultTime, Date protectionStart, Date upfrontDate, Claim claim, DayCounter lastPeriodDayCounter, boolean rebatesAccrual, Date tradeDate)
	CreditDefaultSwap(Protection.Side side, double notional, double upfront, double spread, Schedule schedule, BusinessDayConvention paymentConvention, DayCounter dayCounter, boolean settlesAccrual, boolean paysAtDefaultTime, Date protectionStart, Date upfrontDate, Claim claim, DayCounter lastPeriodDayCounter, boolean rebatesAccrual, Date tradeDate, long cashSettlementDays)
	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)
	CreditDefaultSwap(Protection.Side side, double notional, double spread, Schedule schedule, BusinessDayConvention paymentConvention, DayCounter dayCounter, boolean settlesAccrual, boolean paysAtDefaultTime, Date protectionStart)
	CreditDefaultSwap(Protection.Side side, double notional, double spread, Schedule schedule, BusinessDayConvention paymentConvention, DayCounter dayCounter, boolean settlesAccrual, boolean paysAtDefaultTime, Date protectionStart, Claim claim)
	CreditDefaultSwap(Protection.Side side, double notional, double spread, Schedule schedule, BusinessDayConvention paymentConvention, DayCounter dayCounter, boolean settlesAccrual, boolean paysAtDefaultTime, Date protectionStart, Claim claim, DayCounter lastPeriodDayCounter)
	CreditDefaultSwap(Protection.Side side, double notional, double spread, Schedule schedule, BusinessDayConvention paymentConvention, DayCounter dayCounter, boolean settlesAccrual, boolean paysAtDefaultTime, Date protectionStart, Claim claim, DayCounter lastPeriodDayCounter, boolean rebatesAccrual)
	CreditDefaultSwap(Protection.Side side, double notional, double spread, Schedule schedule, BusinessDayConvention paymentConvention, DayCounter dayCounter, boolean settlesAccrual, boolean paysAtDefaultTime, Date protectionStart, Claim claim, DayCounter lastPeriodDayCounter, boolean rebatesAccrual, Date tradeDate)
	CreditDefaultSwap(Protection.Side side, double notional, double spread, Schedule schedule, BusinessDayConvention paymentConvention, DayCounter dayCounter, boolean settlesAccrual, boolean paysAtDefaultTime, Date protectionStart, Claim claim, DayCounter lastPeriodDayCounter, boolean rebatesAccrual, Date tradeDate, long cashSettlementDays)

Method Summary

Modifier and Type	Method	Description
CashFlow	accrualRebate()
double	accrualRebateNPV()
long	cashSettlementDays()
double	conventionalSpread(double conventionalRecovery, YieldTermStructureHandle discountCurve, DayCounter dayCounter)
double	conventionalSpread(double conventionalRecovery, YieldTermStructureHandle discountCurve, DayCounter dayCounter, CreditDefaultSwap.PricingModel model)
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	impliedHazardRate(double targetNPV, YieldTermStructureHandle discountCurve, DayCounter dayCounter, double recoveryRate, double accuracy, CreditDefaultSwap.PricingModel model)
double	notional()
boolean	paysAtDefaultTime()
Date	protectionEndDate()
Date	protectionStartDate()
boolean	rebatesAccrual()
double	runningSpread()
boolean	settlesAccrual()
Protection.Side	side()
protected void	swigSetCMemOwn(boolean own)
Date	tradeDate()
double	upfront()
double	upfrontBPS()
double	upfrontNPV()
CashFlow	upfrontPayment()

Methods inherited from class org.quantlib.Instrument

errorEstimate, getCPtr, isExpired, NPV, setPricingEngine

Methods inherited from class org.quantlib.LazyObject

alwaysForwardNotifications, forwardFirstNotificationOnly, forwardsAllNotifications, freeze, getCPtr, recalculate, unfreeze

Methods inherited from class org.quantlib.Observable

getCPtr

Methods inherited from class java.lang.Object

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

Methods inherited from interface org.quantlib.helpers.QuantLibJNIHelpers.AutoCloseable

close

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,
                         Date protectionStart,
                         Claim claim,
                         DayCounter lastPeriodDayCounter,
                         boolean rebatesAccrual,
                         Date tradeDate,
                         long cashSettlementDays)

CreditDefaultSwap

public CreditDefaultSwap(Protection.Side side,
                         double notional,
                         double spread,
                         Schedule schedule,
                         BusinessDayConvention paymentConvention,
                         DayCounter dayCounter,
                         boolean settlesAccrual,
                         boolean paysAtDefaultTime,
                         Date protectionStart,
                         Claim claim,
                         DayCounter lastPeriodDayCounter,
                         boolean rebatesAccrual,
                         Date tradeDate)

CreditDefaultSwap

public CreditDefaultSwap(Protection.Side side,
                         double notional,
                         double spread,
                         Schedule schedule,
                         BusinessDayConvention paymentConvention,
                         DayCounter dayCounter,
                         boolean settlesAccrual,
                         boolean paysAtDefaultTime,
                         Date protectionStart,
                         Claim claim,
                         DayCounter lastPeriodDayCounter,
                         boolean rebatesAccrual)

CreditDefaultSwap

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

CreditDefaultSwap

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

CreditDefaultSwap

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

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,
                         Date protectionStart,
                         Date upfrontDate,
                         Claim claim,
                         DayCounter lastPeriodDayCounter,
                         boolean rebatesAccrual,
                         Date tradeDate,
                         long cashSettlementDays)

CreditDefaultSwap

public CreditDefaultSwap(Protection.Side side,
                         double notional,
                         double upfront,
                         double spread,
                         Schedule schedule,
                         BusinessDayConvention paymentConvention,
                         DayCounter dayCounter,
                         boolean settlesAccrual,
                         boolean paysAtDefaultTime,
                         Date protectionStart,
                         Date upfrontDate,
                         Claim claim,
                         DayCounter lastPeriodDayCounter,
                         boolean rebatesAccrual,
                         Date tradeDate)

CreditDefaultSwap

public CreditDefaultSwap(Protection.Side side,
                         double notional,
                         double upfront,
                         double spread,
                         Schedule schedule,
                         BusinessDayConvention paymentConvention,
                         DayCounter dayCounter,
                         boolean settlesAccrual,
                         boolean paysAtDefaultTime,
                         Date protectionStart,
                         Date upfrontDate,
                         Claim claim,
                         DayCounter lastPeriodDayCounter,
                         boolean rebatesAccrual)

CreditDefaultSwap

public CreditDefaultSwap(Protection.Side side,
                         double notional,
                         double upfront,
                         double spread,
                         Schedule schedule,
                         BusinessDayConvention paymentConvention,
                         DayCounter dayCounter,
                         boolean settlesAccrual,
                         boolean paysAtDefaultTime,
                         Date protectionStart,
                         Date upfrontDate,
                         Claim claim,
                         DayCounter lastPeriodDayCounter)

CreditDefaultSwap

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

CreditDefaultSwap

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

CreditDefaultSwap

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

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)

swigSetCMemOwn

protected void swigSetCMemOwn(boolean own)

Overrides:

swigSetCMemOwn in class Instrument

finalize

protected void finalize()

Overrides:

finalize in class Instrument

delete

public void delete()

Specified by:

delete in interface org.quantlib.helpers.QuantLibJNIHelpers.AutoCloseable

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()

coupons

public Leg coupons()

protectionStartDate

public Date protectionStartDate()

protectionEndDate

public Date protectionEndDate()

rebatesAccrual

public boolean rebatesAccrual()

upfrontPayment

public CashFlow upfrontPayment()

accrualRebate

public CashFlow accrualRebate()

tradeDate

public Date tradeDate()

cashSettlementDays

public long cashSettlementDays()

fairUpfront

public double fairUpfront()

fairSpread

public double fairSpread()

couponLegBPS

public double couponLegBPS()

upfrontBPS

public double upfrontBPS()

couponLegNPV

public double couponLegNPV()

defaultLegNPV

public double defaultLegNPV()

upfrontNPV

public double upfrontNPV()

accrualRebateNPV

public double accrualRebateNPV()

impliedHazardRate

public double impliedHazardRate(double targetNPV,
                                YieldTermStructureHandle discountCurve,
                                DayCounter dayCounter,
                                double recoveryRate,
                                double accuracy,
                                CreditDefaultSwap.PricingModel model)

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)

conventionalSpread

public double conventionalSpread(double conventionalRecovery,
                                 YieldTermStructureHandle discountCurve,
                                 DayCounter dayCounter,
                                 CreditDefaultSwap.PricingModel model)

conventionalSpread

public double conventionalSpread(double conventionalRecovery,
                                 YieldTermStructureHandle discountCurve,
                                 DayCounter dayCounter)