Class MidPointCdsEngine

Namespace: NanoQL.PricingEngines

Assembly: NanoQL.dll

The mid-point engine for credit default swaps: each coupon period's default falls at its middle, from the later of its start and the evaluation date.

public static class MidPointCdsEngine

Inheritance: object

MidPointCdsEngine

Inherited Members: object.GetType()

object.MemberwiseClone()

object.ToString()

object.Equals(object)

object.Equals(object, object)

object.ReferenceEquals(object, object)

object.GetHashCode()

Remarks

A static class: Calculate(CreditDefaultSwap, EvaluationContext, DefaultProbabilityTermStructure?, double, YieldTermStructure?, bool?) takes the engine's inputs and returns the results, in place of QuantLib's engine object. An expired swap's results are SetupExpired()'s, as QuantLib's instrument gives them before it calls the engine; otherwise the swap is validated and priced.

A curve accrues nothing before its reference date: the discount at a default date before the discount curve's reference date is 1, and the survival at a payment date before the probability curve's reference date is 1, its default probability over a period ending before it 0, where QuantLib's reads refuse them ("negative time"): on a curve that settles after the evaluation date, and on curves dated the evaluation date for a live coupon whose period ended before it (one paid after the weekend that ended it). No default before the reference date is QuantLib's own premise for its two-date default probability, which excuses the period's start and not its end (defaulttermstructure.cpp:112-120). A documented divergence; wherever QuantLib's reads succeed, its values, bit for bit.

Methods

Calculate(CreditDefaultSwap, EvaluationContext, DefaultProbabilityTermStructure?, double, YieldTermStructure?, bool?)

Prices a credit default swap.

public static CreditDefaultSwapResults Calculate(CreditDefaultSwap cds, EvaluationContext context, DefaultProbabilityTermStructure? probability, double recoveryRate, YieldTermStructure? discountCurve, bool? includeSettlementDateFlows = null)

Parameters

cds CreditDefaultSwap: The swap.
context EvaluationContext: The evaluation context.
probability DefaultProbabilityTermStructure: The default-probability curve, or null, QuantLib's empty handle.
recoveryRate double: The recovery rate.
discountCurve YieldTermStructure: The discount curve, or null, QuantLib's empty handle.
includeSettlementDateFlows bool?: Whether flows on the discount curve's reference date count; the context's IncludeReferenceDateEvents when null.

Returns

CreditDefaultSwapResults: The swap's results.

Exceptions

ArgumentNullException: cds or context is null.
NanoQLException: A curve is missing ("no discount term structure set", "no probability term structure set"); the swap fails its validation; or a curve refuses a date.