Uses of Record Class
com.quantfinlib.credit.IsdaCdsModel.Contract

Packages that use IsdaCdsModel.Contract

Package	Description
com.quantfinlib.credit	Credit curves, CDS pricing and credit spreads.

Uses of IsdaCdsModel.Contract in com.quantfinlib.credit

Methods in com.quantfinlib.credit that return IsdaCdsModel.Contract

Modifier and Type	Method	Description
static IsdaCdsModel.Contract	IsdaCdsModel.standardContract(LocalDate tradeDate, int tenorYears, double coupon, double recovery)	A standard contract: rolled maturity, IMM accrual start, T+1 step-in and T+3 business-day settlement.
static IsdaCdsModel.Contract	IsdaCdsModel.standardContract(LocalDate tradeDate, int tenorYears, double coupon, double recovery, BusinessCalendar calendar)	A standard contract with settlement and accrual start adjusted on a holiday calendar.
IsdaCdsModel.Contract	IsdaCdsModel.Contract.withCoupon(double newCoupon)	The same contract with another coupon.

Methods in com.quantfinlib.credit with parameters of type IsdaCdsModel.Contract

Modifier and Type	Method	Description
static double	IsdaCdsModel.accruedYearFraction(IsdaCdsModel.Contract c)	Accrued premium fraction at step-in: ACT/360(accrual start, step-in).
static double	IsdaCdsModel.cleanUpfront(IsdaCdsModel.Contract c, IsdaCurve discount, IsdaCurve survival)	Points upfront per unit notional paid by the protection buyer (clean).
static double	IsdaCdsModel.cleanUpfront(IsdaCdsModel.Contract c, IsdaCurve discount, IsdaCurve survival, IsdaCdsModel.Conventions conventions)	Clean points upfront under explicit conventions.
static double	IsdaCdsModel.dirtyUpfront(IsdaCdsModel.Contract c, IsdaCurve discount, IsdaCurve survival)	Cash settlement amount per unit notional paid by the buyer (dirty).
static double	IsdaCdsModel.dirtyUpfront(IsdaCdsModel.Contract c, IsdaCurve discount, IsdaCurve survival, IsdaCdsModel.Conventions conventions)	Dirty upfront under explicit conventions.
static double	IsdaCdsModel.flatHazardForParSpread(IsdaCdsModel.Contract c, double parSpread, IsdaCurve discount)	The flat hazard whose par spread equals parSpread.
static double	IsdaCdsModel.flatHazardForParSpread(IsdaCdsModel.Contract c, double parSpread, IsdaCurve discount, IsdaCdsModel.Conventions conventions)	Flat hazard for a par spread under explicit conventions.
static double	IsdaCdsModel.parSpread(IsdaCdsModel.Contract c, IsdaCurve discount, IsdaCurve survival)	Par spread: protection over clean risky annuity.
static double	IsdaCdsModel.parSpread(IsdaCdsModel.Contract c, IsdaCurve discount, IsdaCurve survival, IsdaCdsModel.Conventions conventions)	Par spread under explicit conventions.
static double	IsdaCdsModel.protectionLeg(IsdaCdsModel.Contract c, IsdaCurve discount, IsdaCurve survival)	Protection leg value per unit notional, paid at cash settlement: (1 - R) integral_0^tM h Q P dt / P(t_cs).
static double	IsdaCdsModel.quotedSpreadToUpfront(IsdaCdsModel.Contract c, double quotedSpread, IsdaCurve discount)	Converts a quoted (conventional) spread to clean points upfront at the contract's coupon: flat hazard calibrated so the par spread is the quote, using the contract's recovery.
static double	IsdaCdsModel.quotedSpreadToUpfront(IsdaCdsModel.Contract c, double quotedSpread, IsdaCurve discount, IsdaCdsModel.Conventions conventions)	Quoted spread to clean upfront under explicit conventions.
static double	IsdaCdsModel.riskyAnnuityClean(IsdaCdsModel.Contract c, IsdaCurve discount, IsdaCurve survival)	Clean risky annuity: dirty minus the accrued fraction.
static double	IsdaCdsModel.riskyAnnuityClean(IsdaCdsModel.Contract c, IsdaCurve discount, IsdaCurve survival, IsdaCdsModel.Conventions conventions)	Clean risky annuity under explicit conventions.
static double	IsdaCdsModel.riskyAnnuityDirty(IsdaCdsModel.Contract c, IsdaCurve discount, IsdaCurve survival)	Dirty risky annuity: the premium leg per unit coupon, including the full current coupon and accrual on default, paid at cash settlement.
static double	IsdaCdsModel.riskyAnnuityDirty(IsdaCdsModel.Contract c, IsdaCurve discount, IsdaCurve survival, IsdaCdsModel.Conventions conventions)	Dirty risky annuity under explicit conventions (holiday calendar, half-day accrual on default).
static List<IsdaCdsModel.Period>	IsdaCdsModel.schedule(IsdaCdsModel.Contract c)	The coupon schedule from the accrual start to maturity.
static List<IsdaCdsModel.Period>	IsdaCdsModel.schedule(IsdaCdsModel.Contract c, BusinessCalendar calendar)	The coupon schedule with accrual and payment dates adjusted following on a holiday calendar.
static double	IsdaCdsModel.upfrontToQuotedSpread(IsdaCdsModel.Contract c, double cleanUpfront, IsdaCurve discount)	Converts clean points upfront to the quoted spread: flat hazard that reprices the upfront, then its par spread.
static double	IsdaCdsModel.upfrontToQuotedSpread(IsdaCdsModel.Contract c, double cleanUpfront, IsdaCurve discount, IsdaCdsModel.Conventions conventions)	Clean upfront to quoted spread under explicit conventions.