Module io.github.ralfkonrad.quantlib

Package org.quantlib

Class UpfrontCdsHelper

java.lang.Object

org.quantlib.Observable

org.quantlib.DefaultProbabilityHelper

org.quantlib.UpfrontCdsHelper

All Implemented Interfaces:

AutoCloseable, org.quantlib.helpers.QuantLibJNIHelpers.AutoCloseable

public class UpfrontCdsHelper
extends DefaultProbabilityHelper
implements org.quantlib.helpers.QuantLibJNIHelpers.AutoCloseable

Constructor Summary

Constructors

Modifier	Constructor	Description
	UpfrontCdsHelper(double upfront, double spread, Period tenor, int settlementDays, Calendar calendar, Frequency frequency, BusinessDayConvention convention, DateGeneration.Rule rule, DayCounter dayCounter, double recoveryRate, YieldTermStructureHandle discountCurve)
	UpfrontCdsHelper(double upfront, double spread, Period tenor, int settlementDays, Calendar calendar, Frequency frequency, BusinessDayConvention convention, DateGeneration.Rule rule, DayCounter dayCounter, double recoveryRate, YieldTermStructureHandle discountCurve, long upfrontSettlementDays)
	UpfrontCdsHelper(double upfront, double spread, Period tenor, int settlementDays, Calendar calendar, Frequency frequency, BusinessDayConvention convention, DateGeneration.Rule rule, DayCounter dayCounter, double recoveryRate, YieldTermStructureHandle discountCurve, long upfrontSettlementDays, boolean settlesAccrual)
	UpfrontCdsHelper(double upfront, double spread, Period tenor, int settlementDays, Calendar calendar, Frequency frequency, BusinessDayConvention convention, DateGeneration.Rule rule, DayCounter dayCounter, double recoveryRate, YieldTermStructureHandle discountCurve, long upfrontSettlementDays, boolean settlesAccrual, boolean paysAtDefaultTime)
	UpfrontCdsHelper(double upfront, double spread, Period tenor, int settlementDays, Calendar calendar, Frequency frequency, BusinessDayConvention convention, DateGeneration.Rule rule, DayCounter dayCounter, double recoveryRate, YieldTermStructureHandle discountCurve, long upfrontSettlementDays, boolean settlesAccrual, boolean paysAtDefaultTime, Date startDate)
	UpfrontCdsHelper(double upfront, double spread, Period tenor, int settlementDays, Calendar calendar, Frequency frequency, BusinessDayConvention convention, DateGeneration.Rule rule, DayCounter dayCounter, double recoveryRate, YieldTermStructureHandle discountCurve, long upfrontSettlementDays, boolean settlesAccrual, boolean paysAtDefaultTime, Date startDate, DayCounter lastPeriodDayCounter)
	UpfrontCdsHelper(double upfront, double spread, Period tenor, int settlementDays, Calendar calendar, Frequency frequency, BusinessDayConvention convention, DateGeneration.Rule rule, DayCounter dayCounter, double recoveryRate, YieldTermStructureHandle discountCurve, long upfrontSettlementDays, boolean settlesAccrual, boolean paysAtDefaultTime, Date startDate, DayCounter lastPeriodDayCounter, boolean rebatesAccrual)
	UpfrontCdsHelper(double upfront, double spread, Period tenor, int settlementDays, Calendar calendar, Frequency frequency, BusinessDayConvention convention, DateGeneration.Rule rule, DayCounter dayCounter, double recoveryRate, YieldTermStructureHandle discountCurve, long upfrontSettlementDays, boolean settlesAccrual, boolean paysAtDefaultTime, Date startDate, DayCounter lastPeriodDayCounter, boolean rebatesAccrual, CreditDefaultSwap.PricingModel model)
protected	UpfrontCdsHelper(long cPtr, boolean cMemoryOwn)
	UpfrontCdsHelper(QuoteHandle upfront, double spread, Period tenor, int settlementDays, Calendar calendar, Frequency frequency, BusinessDayConvention convention, DateGeneration.Rule rule, DayCounter dayCounter, double recoveryRate, YieldTermStructureHandle discountCurve)
	UpfrontCdsHelper(QuoteHandle upfront, double spread, Period tenor, int settlementDays, Calendar calendar, Frequency frequency, BusinessDayConvention convention, DateGeneration.Rule rule, DayCounter dayCounter, double recoveryRate, YieldTermStructureHandle discountCurve, long upfrontSettlementDays)
	UpfrontCdsHelper(QuoteHandle upfront, double spread, Period tenor, int settlementDays, Calendar calendar, Frequency frequency, BusinessDayConvention convention, DateGeneration.Rule rule, DayCounter dayCounter, double recoveryRate, YieldTermStructureHandle discountCurve, long upfrontSettlementDays, boolean settlesAccrual)
	UpfrontCdsHelper(QuoteHandle upfront, double spread, Period tenor, int settlementDays, Calendar calendar, Frequency frequency, BusinessDayConvention convention, DateGeneration.Rule rule, DayCounter dayCounter, double recoveryRate, YieldTermStructureHandle discountCurve, long upfrontSettlementDays, boolean settlesAccrual, boolean paysAtDefaultTime)
	UpfrontCdsHelper(QuoteHandle upfront, double spread, Period tenor, int settlementDays, Calendar calendar, Frequency frequency, BusinessDayConvention convention, DateGeneration.Rule rule, DayCounter dayCounter, double recoveryRate, YieldTermStructureHandle discountCurve, long upfrontSettlementDays, boolean settlesAccrual, boolean paysAtDefaultTime, Date startDate)
	UpfrontCdsHelper(QuoteHandle upfront, double spread, Period tenor, int settlementDays, Calendar calendar, Frequency frequency, BusinessDayConvention convention, DateGeneration.Rule rule, DayCounter dayCounter, double recoveryRate, YieldTermStructureHandle discountCurve, long upfrontSettlementDays, boolean settlesAccrual, boolean paysAtDefaultTime, Date startDate, DayCounter lastPeriodDayCounter)
	UpfrontCdsHelper(QuoteHandle upfront, double spread, Period tenor, int settlementDays, Calendar calendar, Frequency frequency, BusinessDayConvention convention, DateGeneration.Rule rule, DayCounter dayCounter, double recoveryRate, YieldTermStructureHandle discountCurve, long upfrontSettlementDays, boolean settlesAccrual, boolean paysAtDefaultTime, Date startDate, DayCounter lastPeriodDayCounter, boolean rebatesAccrual)
	UpfrontCdsHelper(QuoteHandle upfront, double spread, Period tenor, int settlementDays, Calendar calendar, Frequency frequency, BusinessDayConvention convention, DateGeneration.Rule rule, DayCounter dayCounter, double recoveryRate, YieldTermStructureHandle discountCurve, long upfrontSettlementDays, boolean settlesAccrual, boolean paysAtDefaultTime, Date startDate, DayCounter lastPeriodDayCounter, boolean rebatesAccrual, CreditDefaultSwap.PricingModel model)

Method Summary

Modifier and Type	Method	Description
void	delete()
protected void	finalize()
protected static long	getCPtr(UpfrontCdsHelper obj)
protected void	swigSetCMemOwn(boolean own)

Methods inherited from class org.quantlib.DefaultProbabilityHelper

earliestDate, getCPtr, impliedQuote, latestDate, latestRelevantDate, maturityDate, pillarDate, quote, quoteError

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

UpfrontCdsHelper

protected UpfrontCdsHelper(long cPtr,
                           boolean cMemoryOwn)

UpfrontCdsHelper

public UpfrontCdsHelper(QuoteHandle upfront,
                        double spread,
                        Period tenor,
                        int settlementDays,
                        Calendar calendar,
                        Frequency frequency,
                        BusinessDayConvention convention,
                        DateGeneration.Rule rule,
                        DayCounter dayCounter,
                        double recoveryRate,
                        YieldTermStructureHandle discountCurve,
                        long upfrontSettlementDays,
                        boolean settlesAccrual,
                        boolean paysAtDefaultTime,
                        Date startDate,
                        DayCounter lastPeriodDayCounter,
                        boolean rebatesAccrual,
                        CreditDefaultSwap.PricingModel model)

UpfrontCdsHelper

public UpfrontCdsHelper(QuoteHandle upfront,
                        double spread,
                        Period tenor,
                        int settlementDays,
                        Calendar calendar,
                        Frequency frequency,
                        BusinessDayConvention convention,
                        DateGeneration.Rule rule,
                        DayCounter dayCounter,
                        double recoveryRate,
                        YieldTermStructureHandle discountCurve,
                        long upfrontSettlementDays,
                        boolean settlesAccrual,
                        boolean paysAtDefaultTime,
                        Date startDate,
                        DayCounter lastPeriodDayCounter,
                        boolean rebatesAccrual)

UpfrontCdsHelper

public UpfrontCdsHelper(QuoteHandle upfront,
                        double spread,
                        Period tenor,
                        int settlementDays,
                        Calendar calendar,
                        Frequency frequency,
                        BusinessDayConvention convention,
                        DateGeneration.Rule rule,
                        DayCounter dayCounter,
                        double recoveryRate,
                        YieldTermStructureHandle discountCurve,
                        long upfrontSettlementDays,
                        boolean settlesAccrual,
                        boolean paysAtDefaultTime,
                        Date startDate,
                        DayCounter lastPeriodDayCounter)

UpfrontCdsHelper

public UpfrontCdsHelper(QuoteHandle upfront,
                        double spread,
                        Period tenor,
                        int settlementDays,
                        Calendar calendar,
                        Frequency frequency,
                        BusinessDayConvention convention,
                        DateGeneration.Rule rule,
                        DayCounter dayCounter,
                        double recoveryRate,
                        YieldTermStructureHandle discountCurve,
                        long upfrontSettlementDays,
                        boolean settlesAccrual,
                        boolean paysAtDefaultTime,
                        Date startDate)

UpfrontCdsHelper

public UpfrontCdsHelper(QuoteHandle upfront,
                        double spread,
                        Period tenor,
                        int settlementDays,
                        Calendar calendar,
                        Frequency frequency,
                        BusinessDayConvention convention,
                        DateGeneration.Rule rule,
                        DayCounter dayCounter,
                        double recoveryRate,
                        YieldTermStructureHandle discountCurve,
                        long upfrontSettlementDays,
                        boolean settlesAccrual,
                        boolean paysAtDefaultTime)

UpfrontCdsHelper

public UpfrontCdsHelper(QuoteHandle upfront,
                        double spread,
                        Period tenor,
                        int settlementDays,
                        Calendar calendar,
                        Frequency frequency,
                        BusinessDayConvention convention,
                        DateGeneration.Rule rule,
                        DayCounter dayCounter,
                        double recoveryRate,
                        YieldTermStructureHandle discountCurve,
                        long upfrontSettlementDays,
                        boolean settlesAccrual)

UpfrontCdsHelper

public UpfrontCdsHelper(QuoteHandle upfront,
                        double spread,
                        Period tenor,
                        int settlementDays,
                        Calendar calendar,
                        Frequency frequency,
                        BusinessDayConvention convention,
                        DateGeneration.Rule rule,
                        DayCounter dayCounter,
                        double recoveryRate,
                        YieldTermStructureHandle discountCurve,
                        long upfrontSettlementDays)

UpfrontCdsHelper

public UpfrontCdsHelper(QuoteHandle upfront,
                        double spread,
                        Period tenor,
                        int settlementDays,
                        Calendar calendar,
                        Frequency frequency,
                        BusinessDayConvention convention,
                        DateGeneration.Rule rule,
                        DayCounter dayCounter,
                        double recoveryRate,
                        YieldTermStructureHandle discountCurve)

UpfrontCdsHelper

public UpfrontCdsHelper(double upfront,
                        double spread,
                        Period tenor,
                        int settlementDays,
                        Calendar calendar,
                        Frequency frequency,
                        BusinessDayConvention convention,
                        DateGeneration.Rule rule,
                        DayCounter dayCounter,
                        double recoveryRate,
                        YieldTermStructureHandle discountCurve,
                        long upfrontSettlementDays,
                        boolean settlesAccrual,
                        boolean paysAtDefaultTime,
                        Date startDate,
                        DayCounter lastPeriodDayCounter,
                        boolean rebatesAccrual,
                        CreditDefaultSwap.PricingModel model)

UpfrontCdsHelper

public UpfrontCdsHelper(double upfront,
                        double spread,
                        Period tenor,
                        int settlementDays,
                        Calendar calendar,
                        Frequency frequency,
                        BusinessDayConvention convention,
                        DateGeneration.Rule rule,
                        DayCounter dayCounter,
                        double recoveryRate,
                        YieldTermStructureHandle discountCurve,
                        long upfrontSettlementDays,
                        boolean settlesAccrual,
                        boolean paysAtDefaultTime,
                        Date startDate,
                        DayCounter lastPeriodDayCounter,
                        boolean rebatesAccrual)

UpfrontCdsHelper

public UpfrontCdsHelper(double upfront,
                        double spread,
                        Period tenor,
                        int settlementDays,
                        Calendar calendar,
                        Frequency frequency,
                        BusinessDayConvention convention,
                        DateGeneration.Rule rule,
                        DayCounter dayCounter,
                        double recoveryRate,
                        YieldTermStructureHandle discountCurve,
                        long upfrontSettlementDays,
                        boolean settlesAccrual,
                        boolean paysAtDefaultTime,
                        Date startDate,
                        DayCounter lastPeriodDayCounter)

UpfrontCdsHelper

public UpfrontCdsHelper(double upfront,
                        double spread,
                        Period tenor,
                        int settlementDays,
                        Calendar calendar,
                        Frequency frequency,
                        BusinessDayConvention convention,
                        DateGeneration.Rule rule,
                        DayCounter dayCounter,
                        double recoveryRate,
                        YieldTermStructureHandle discountCurve,
                        long upfrontSettlementDays,
                        boolean settlesAccrual,
                        boolean paysAtDefaultTime,
                        Date startDate)

UpfrontCdsHelper

public UpfrontCdsHelper(double upfront,
                        double spread,
                        Period tenor,
                        int settlementDays,
                        Calendar calendar,
                        Frequency frequency,
                        BusinessDayConvention convention,
                        DateGeneration.Rule rule,
                        DayCounter dayCounter,
                        double recoveryRate,
                        YieldTermStructureHandle discountCurve,
                        long upfrontSettlementDays,
                        boolean settlesAccrual,
                        boolean paysAtDefaultTime)

UpfrontCdsHelper

public UpfrontCdsHelper(double upfront,
                        double spread,
                        Period tenor,
                        int settlementDays,
                        Calendar calendar,
                        Frequency frequency,
                        BusinessDayConvention convention,
                        DateGeneration.Rule rule,
                        DayCounter dayCounter,
                        double recoveryRate,
                        YieldTermStructureHandle discountCurve,
                        long upfrontSettlementDays,
                        boolean settlesAccrual)

UpfrontCdsHelper

public UpfrontCdsHelper(double upfront,
                        double spread,
                        Period tenor,
                        int settlementDays,
                        Calendar calendar,
                        Frequency frequency,
                        BusinessDayConvention convention,
                        DateGeneration.Rule rule,
                        DayCounter dayCounter,
                        double recoveryRate,
                        YieldTermStructureHandle discountCurve,
                        long upfrontSettlementDays)

UpfrontCdsHelper

public UpfrontCdsHelper(double upfront,
                        double spread,
                        Period tenor,
                        int settlementDays,
                        Calendar calendar,
                        Frequency frequency,
                        BusinessDayConvention convention,
                        DateGeneration.Rule rule,
                        DayCounter dayCounter,
                        double recoveryRate,
                        YieldTermStructureHandle discountCurve)

Method Detail

getCPtr

protected static long getCPtr(UpfrontCdsHelper obj)

swigSetCMemOwn

protected void swigSetCMemOwn(boolean own)

Overrides:

swigSetCMemOwn in class DefaultProbabilityHelper

finalize

protected void finalize()

Overrides:

finalize in class DefaultProbabilityHelper

delete

public void delete()

Specified by:

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

Overrides:

delete in class DefaultProbabilityHelper