Struct CreditDefaultSwap 

pub struct CreditDefaultSwap { /* private fields */ }

A credit-default swap quoted as a running spread.

One side pays the premium leg and receives the protection payment, the other the reverse; which way round is side.

Implementations

impl CreditDefaultSwap

pub fn new( side: ProtectionSide, notional: Real, spread: Rate, schedule: Schedule, payment_convention: BusinessDayConvention, day_counter: DayCounter, settles_accrual: bool, pays_at_default_time: bool, settings: Shared<Settings<Date>>, ) -> QlResult<CreditDefaultSwap>

A contract on the C++ default terms, settling its accrual and paying at default time as settles_accrual and pays_at_default_time say (creditdefaultswap.cpp:39-60).

The remaining terms take their C++ defaults; with_terms gives them.

Errors

As with_terms.

pub fn with_terms( side: ProtectionSide, notional: Real, spread: Rate, schedule: Schedule, payment_convention: BusinessDayConvention, day_counter: DayCounter, terms: CdsTerms, settings: Shared<Settings<Date>>, ) -> QlResult<CreditDefaultSwap>

A contract on the given terms (creditdefaultswap.cpp:39-60 and its init, :87-176).

Errors

Errors on an empty schedule, on a protection start after the first accrual date under a pre-Big-Bang date-generation rule, on a cash settlement date before the protection start, and on the deferred accrual-rebate case where the trade date falls on or after the first accrual date. Propagates the premium leg’s own preconditions.

pub fn side(&self) -> ProtectionSide

Which side of the protection this contract holds.

pub fn notional(&self) -> Real

The notional the protection covers.

pub fn running_spread(&self) -> Rate

The running spread the premium leg pays.

pub fn upfront(&self) -> Option<Rate>

The upfront, in fractional units.

Always None here: only the deferred upfront-quoted constructor sets it (creditdefaultswap.cpp:78).

pub fn settles_accrual(&self) -> bool

Whether the accrued coupon is due on a default.

pub fn pays_at_default_time(&self) -> bool

Whether a default pays at default time.

pub fn claim(&self) -> &Shared<dyn Claim>

What a default pays out.

pub fn coupons(&self) -> &Leg

The premium leg.

pub fn protection_start_date(&self) -> Date

The first date a default triggers the contract.

pub fn maturity(&self) -> Date

The schedule’s last date.

pub fn upfront_payment(&self) -> &Shared<SimpleCashFlow>

The zero-amount upfront payment, due on the cash settlement date.

pub fn accrual_rebate(&self) -> Option<&Shared<SimpleCashFlow>>

The accrual rebate, when the contract carries one.

pub fn rebates_accrual(&self) -> bool

Whether the protection seller rebates the accrued current coupon (creditdefaultswap.hpp:186).

pub fn trade_date(&self) -> Date

The contract’s trade date.

pub fn cash_settlement_days(&self) -> Natural

The business days from the trade date to cash settlement.

pub fn fair_spread(&mut self) -> QlResult<Rate>

The spread that prices the contract at zero (creditdefaultswap.cpp:266-271).

Errors

The calculation must succeed and the engine must have provided the value; an engine pricing a worthless premium leg does not (midpointcdsengine.cpp:156-157).

pub fn fair_upfront(&mut self) -> QlResult<Rate>

The upfront that prices the contract at zero (creditdefaultswap.cpp:259-264).

Errors

As fair_spread.

pub fn coupon_leg_bps(&mut self) -> QlResult<Real>

The premium leg’s sensitivity to a one-basis-point spread move (creditdefaultswap.cpp:273-278).

Errors

As fair_spread.

pub fn coupon_leg_npv(&mut self) -> QlResult<Real>

The premium leg’s NPV (creditdefaultswap.cpp:280-285).

Errors

As fair_spread.

pub fn default_leg_npv(&mut self) -> QlResult<Real>

The protection leg’s NPV (creditdefaultswap.cpp:287-292).

Errors

As fair_spread.

pub fn upfront_npv(&mut self) -> QlResult<Real>

The upfront payment’s NPV (creditdefaultswap.cpp:294-299).

Errors

As fair_spread.

pub fn upfront_bps(&mut self) -> QlResult<Real>

The upfront payment’s sensitivity to a one-basis-point upfront move (creditdefaultswap.cpp:301-306).

Errors

As fair_spread.

pub fn accrual_rebate_npv(&mut self) -> QlResult<Real>

The accrual rebate’s NPV (creditdefaultswap.cpp:308-313).

Errors

As fair_spread, and additionally on an expired contract, which C++ leaves reading an uninitialised member.

Trait Implementations

impl Instrument for CreditDefaultSwap

fn is_expired(&self) -> QlResult<bool>

creditdefaultswap.cpp:207-213: expired once every premium flow has occurred.

fn setup_arguments(&self, arguments: &mut dyn Arguments) -> QlResult<()>

creditdefaultswap.cpp:222-239.

fn setup_expired(&mut self)

creditdefaultswap.cpp:215-220, which zeroes seven of the eight results and leaves accrualRebateNPV_ as it found it.

fn fetch_results(&mut self, results: &dyn Results) -> QlResult<()>

creditdefaultswap.cpp:242-257.

fn base(&self) -> &InstrumentBase

The embedded base state.

fn base_mut(&mut self) -> &mut InstrumentBase

Mutable access to the embedded base state.

fn perform_calculations(&mut self) -> QlResult<()>

Runs the engine protocol (performCalculations): reset, fill and validate the arguments, calculate, fetch the results. Override only when pricing without an engine.

fn calculate(&mut self) -> QlResult<()>

Recomputes the results if the cache is stale, short-circuiting expired instruments (Instrument::calculate).

fn recalculate(&mut self) -> QlResult<()>

Forces a recalculation and notifies observers even on failure (LazyObject::recalculate, inherited by every C++ instrument; goes through the virtual calculate, so expired instruments short-circuit).

fn npv(&mut self) -> QlResult<Real>

The net present value of the instrument (NPV()).

fn error_estimate(&mut self) -> QlResult<Real>

The error estimate on the NPV, when available (errorEstimate()).

fn valuation_date(&mut self) -> QlResult<Date>

The date the net present value refers to (valuationDate()).

fn result<T: Any + Clone>(&mut self, tag: &str) -> QlResult<T>

where Self: Sized,

An additional named result returned by the engine (result<T>(tag)).

fn additional_results(&mut self) -> QlResult<&BTreeMap<String, Shared<dyn Any>>>

All additional results returned by the engine (additionalResults()).