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

Packages that use IsdaCdsModel.Conventions

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

Uses of IsdaCdsModel.Conventions in com.quantfinlib.credit

Fields in com.quantfinlib.credit declared as IsdaCdsModel.Conventions

Modifier and Type	Field	Description
static final IsdaCdsModel.Conventions	IsdaCdsModel.Conventions.DEFAULT	The 2.1 behaviour: weekends only, no half-day adjustment.

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

Modifier and Type	Method	Description
static IsdaCdsModel.Conventions	IsdaCdsModel.Conventions.of(BusinessCalendar calendar)	Conventions with a holiday calendar and no half-day adjustment.
IsdaCdsModel.Conventions	IsdaCdsModel.Conventions.withHalfDayAccrual(boolean on)	The same calendar with the half-day option set.

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

Modifier and Type	Method	Description
static IsdaCurve	IsdaCdsModel.bootstrap(LocalDate tradeDate, int[] tenorYears, double[] parSpreads, double recovery, IsdaCurve discount, IsdaCdsModel.Conventions conventions)	Bootstraps under explicit conventions; the standard contracts are built on the conventions' calendar.
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, IsdaCdsModel.Conventions conventions)	Dirty upfront under explicit conventions.
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, IsdaCdsModel.Conventions conventions)	Par spread under explicit conventions.
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, IsdaCdsModel.Conventions conventions)	Clean risky annuity under explicit conventions.
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 double	IsdaCdsModel.upfrontToQuotedSpread(IsdaCdsModel.Contract c, double cleanUpfront, IsdaCurve discount, IsdaCdsModel.Conventions conventions)	Clean upfront to quoted spread under explicit conventions.