Class CreditDefaultSwapResults

Namespace

NanoQL.Instruments

Assembly

NanoQL.dll

The results an engine returns for a CreditDefaultSwap: the instrument's, with the fair running spread and upfront, and the legs' values and sensitivities.

public sealed record CreditDefaultSwapResults : InstrumentResults, IEquatable<InstrumentResults>, IEquatable<CreditDefaultSwapResults>

Inheritance

object

InstrumentResults

CreditDefaultSwapResults

Implements

IEquatable<InstrumentResults>

IEquatable<CreditDefaultSwapResults>

Inherited Members

InstrumentResults.Result<T>(string)

InstrumentResults.NPV

InstrumentResults.ErrorEstimate

InstrumentResults.ValuationDate

InstrumentResults.AdditionalResults

object.GetType()

object.Equals(object, object)

object.ReferenceEquals(object, object)

Remarks

A result QuantLib leaves at Null<Real>(), whose accessor refuses it ("… not available"), is null: the fair spread where the coupon leg is worth nothing, the fair upfront where the upfront has occurred, the coupon-leg BPS for a zero running spread, the upfront BPS without an upfront. Equality is by value.

Constructors

CreditDefaultSwapResults()

public CreditDefaultSwapResults()

Properties

AccrualRebateNPV

Gets the accrual rebate's value, signed by the side.

public double? AccrualRebateNPV { get; init; }

Property Value

double?

CouponLegBPS

Gets the change of the coupon leg's value for a one-basis-point change of the running spread.

public double? CouponLegBPS { get; init; }

Property Value

double?

CouponLegNPV

Gets the coupon leg's value, signed by the side.

public double? CouponLegNPV { get; init; }

Property Value

double?

DefaultLegNPV

Gets the default leg's value, signed by the side.

public double? DefaultLegNPV { get; init; }

Property Value

double?

EqualityContract

protected override Type EqualityContract { get; }

Property Value

Type

FairSpread

Gets the running spread that, given the recovery rate, gives the running-only swap a zero NPV, ignoring any upfront.

public double? FairSpread { get; init; }

Property Value

double?

FairUpfront

Gets the upfront that, given the running spread and the recovery rate, gives the swap a zero NPV.

public double? FairUpfront { get; init; }

Property Value

double?

UpfrontBPS

Gets the change of the upfront's value for a one-basis-point change of the upfront.

public double? UpfrontBPS { get; init; }

Property Value

double?

UpfrontNPV

Gets the upfront's value, signed by the side.

public double? UpfrontNPV { get; init; }

Property Value

double?

Methods

Equals(InstrumentResults?)

public override sealed bool Equals(InstrumentResults? other)

Parameters

other InstrumentResults

Returns

bool

Equals(CreditDefaultSwapResults?)

public bool Equals(CreditDefaultSwapResults? other)

Parameters

other CreditDefaultSwapResults

Returns

bool

Equals(object?)

public override bool Equals(object? obj)

Parameters

obj object

Returns

bool

GetHashCode()

public override int GetHashCode()

Returns

int

PrintMembers(StringBuilder)

protected override bool PrintMembers(StringBuilder builder)

Parameters

builder StringBuilder

Returns

bool

ToString()

public override string ToString()

Returns

string

Operators

operator ==(CreditDefaultSwapResults?, CreditDefaultSwapResults?)

public static bool operator ==(CreditDefaultSwapResults? left, CreditDefaultSwapResults? right)

Parameters

left CreditDefaultSwapResults

right CreditDefaultSwapResults

Returns

bool

operator !=(CreditDefaultSwapResults?, CreditDefaultSwapResults?)

public static bool operator !=(CreditDefaultSwapResults? left, CreditDefaultSwapResults? right)

Parameters

left CreditDefaultSwapResults

right CreditDefaultSwapResults

Returns

bool