Overview

QuantLib Credit

Function List

qlBaseCorrelationTermStructure ()
qlBaseCorrelationValue ()
qlBlackCdsOptionEngine ()
qlCDSOption ()
qlCdsCouponLegNPV ()
qlCdsDefaultLegNPV ()
qlCdsFairSpread ()
qlCdsFairUpfront ()
qlCdsOptionImpliedVol ()
qlCreditDefaultSwap ()
qlDefaultEvent ()
qlHRDates ()
qlHRates ()
qlHazardRateCurve ()
qlIntegralNtdEngine ()
qlIssuer ()
qlMidPointCDOEngine ()
qlMidPointCdsEngine ()
qlNthToDefault ()
qlPiecewiseFlatForwardCurve ()
qlPiecewiseHazardRateCurve ()
qlRiskyFixedBond ()
qlSpreadCdsHelper ()
qlSyntheticCDO ()
qlUpfrontCdsHelper ()

Function Documentation

qlBaseCorrelationTermStructure

string returnValue
 
qlBaseCorrelationTermStructure(
        string ObjectId
        string InterpolatorType
        long SettlementDays
        string Calendar
        string Convention
        vector<string> Tenors
        vector<double> LossLevel
        vector<vector<string> > Correlations
        string DayCounter
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class BaseCorrelationTermStructure and return its id

Supported Platforms:

Excel, C++

Parameters

ObjectId	id of object to be created
InterpolatorType	The bidimensional interpolation policy over the correlation surface.
SettlementDays	Number of settlement days.
Calendar	Calendar.
Convention	Time convention.
Tenors	Surface tenors
LossLevel	Surface loss levels as a fraction of the underlying portfolio.
Correlations	Correlation quotes.
DayCounter	DayCounter ID. Default value = Actual/365 (Fixed).
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlBaseCorrelationValue

double returnValue
 
qlBaseCorrelationValue(
        string ObjectId
        long Date
        double LossLevel
        any Trigger)

Description:

Returns the interpolated base correlation value.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLibAddin::BaseCorrelationTermStructure object
Date	Interpolation date.
LossLevel	Interpolation loss level.
Trigger	dependency tracking trigger

qlBlackCdsOptionEngine

string returnValue
 
qlBlackCdsOptionEngine(
        string ObjectId
        string DefaultCurve
        double RecoveryRate
        string YieldCurve
        string BlackVol
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class BlackCdsOptionEngine and return its id

Supported Platforms:

Excel, Calc, C++

Parameters

ObjectId	id of object to be created
DefaultCurve	default term structure object ID.
RecoveryRate	constant recovery rate
YieldCurve	discounting yield term structure object ID.
BlackVol	Black Volatility.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlCDSOption

string returnValue
 
qlCDSOption(
        string ObjectId
        string UnderlyingCDS
        string Exercise
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class CdsOption and return its id

Supported Platforms:

Excel, Calc

Parameters

ObjectId	id of object to be created
UnderlyingCDS	The CDS underlying the option.
Exercise	Exercise object ID.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlCdsCouponLegNPV

double returnValue
 
qlCdsCouponLegNPV(
        string ObjectId
        any Trigger)

Description:

Returns the CL NPV.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::CreditDefaultSwap object
Trigger	dependency tracking trigger

qlCdsDefaultLegNPV

double returnValue
 
qlCdsDefaultLegNPV(
        string ObjectId
        any Trigger)

Description:

Returns the DL NPV.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::CreditDefaultSwap object
Trigger	dependency tracking trigger

qlCdsFairSpread

double returnValue
 
qlCdsFairSpread(
        string ObjectId
        any Trigger)

Description:

Returns the running spread that, given the quoted recovery rate, will make the running-only CDS have an NPV of 0.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::CreditDefaultSwap object
Trigger	dependency tracking trigger

qlCdsFairUpfront

double returnValue
 
qlCdsFairUpfront(
        string ObjectId
        any Trigger)

Description:

Returns the upfront spread that, given the running spread and the quoted recovery rate, will make the instrument have an NPV of 0.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::CreditDefaultSwap object
Trigger	dependency tracking trigger

qlCdsOptionImpliedVol

double returnValue
 
qlCdsOptionImpliedVol(
        string ObjectId
        double Price
        string YieldCurve
        string DefaultCurve
        double RecoveryRate
        any Trigger)

Description:

Implied black CDS option volatility.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::CdsOption object
Price	Market price.
YieldCurve	discounting yield term structure object ID.
DefaultCurve	default term structure object ID.
RecoveryRate	constant recovery rate
Trigger	dependency tracking trigger

qlCreditDefaultSwap

string returnValue
 
qlCreditDefaultSwap(
        string ObjectId
        string BuyerSeller
        double Notional
        double Upfront
        double Spread
        string PremiumSchedule
        string PaymentConvention
        string DayCounter
        bool SettlesAccrual
        bool PayAtDefault
        long ProtectionStart
        long UpfrontDate
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class CreditDefaultSwap and return its id

Supported Platforms:

Excel, Calc

Parameters

ObjectId	id of object to be created
BuyerSeller	BUYER for bought, SELLER for sold protection. Default value = Buyer.
Notional	Nominal amount
Upfront	upfront in fractional units
Spread	running spread in fractional units
PremiumSchedule	premium leg Schedule object ID.
PaymentConvention	Payment dates' business day convention. Default value = Following.
DayCounter	premium leg day counter (e.g. Actual/360).
SettlesAccrual	TRUE ensures settlement of accural. Default value = true.
PayAtDefault	TRUE ensures payment at default time Default value = true.
ProtectionStart	protection start date. Default value = QuantLib::Date().
UpfrontDate	upfront date. Default value = QuantLib::Date().
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlDefaultEvent

string returnValue
 
qlDefaultEvent(
        string ObjectId
        string EventType
        long EventDate
        string Currency
        string Seniority
        long SettlementDate
        double SettledRecovery
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class DefaultEventSet and return its id

Supported Platforms:

Excel, C++

Parameters

ObjectId	id of object to be created
EventType	The type of default event. Default value = NONE.
EventDate	Event date. Default value = QuantLib::Date().
Currency	Curency of the reference bond affected. Default value = Currency.
Seniority	Seniority of the bond affected. Default value = NoSeniority.
SettlementDate	Event settlement date. Default value = QuantLib::Date().
SettledRecovery	Event settlement recovery rate. Default value = 0.0.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlHRDates

vector<long> returnValue
 
qlHRDates(
        string ObjectId
        any Trigger)

Description:

Dates on which the hazard rate interpolation is performed.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLibAddin::PiecewiseHazardRateCurve object
Trigger	dependency tracking trigger

qlHRates

vector<double> returnValue
 
qlHRates(
        string ObjectId
        any Trigger)

Description:

Dates on which the hazard rate interpolation is performed.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLibAddin::PiecewiseHazardRateCurve object
Trigger	dependency tracking trigger

qlHazardRateCurve

string returnValue
 
qlHazardRateCurve(
        string ObjectId
        vector<long> CurveDates
        vector<double> CurveRates
        string DayCounter
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Creates a backward flat interpolated hazard rate curve.

Supported Platforms:

Excel, Calc, C++

Parameters

ObjectId	id of object to be created
CurveDates	dates of the curve. First date corresponds to a survival probability of one.
CurveRates	hazard rates for the above dates.
DayCounter	DayCounter ID. Default value = Actual/365 (Fixed).
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlIntegralNtdEngine

string returnValue
 
qlIntegralNtdEngine(
        string ObjectId
        string IntegrationStep
        string YieldCurve
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class IntegralNtdEngine and return its id

Supported Platforms:

Excel, C++

Parameters

ObjectId	id of object to be created
IntegrationStep	Integration step period.
YieldCurve	discounting yield term structure object ID.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlIssuer

string returnValue
 
qlIssuer(
        string ObjectId
        string DefaultCurves
        string DefaultEvents
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class Issuer and return its id

Supported Platforms:

Excel, C++

Parameters

ObjectId	id of object to be created
DefaultCurves	Default probability curve. By now it is associated to SeniorSec, EUR and NorthAmericaCorpDefaultKey Default value = .
DefaultEvents	Credit events affecting this issuer.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlMidPointCDOEngine

string returnValue
 
qlMidPointCDOEngine(
        string ObjectId
        string YieldCurve
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class MidPointCDOEngine and return its id

Supported Platforms:

Excel, C++

Parameters

ObjectId	id of object to be created
YieldCurve	discounting yield term structure object ID.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlMidPointCdsEngine

string returnValue
 
qlMidPointCdsEngine(
        string ObjectId
        string DefaultCurve
        double RecoveryRate
        string YieldCurve
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class MidPointCdsEngine and return its id

Supported Platforms:

Excel, Calc, C++

Parameters

ObjectId	id of object to be created
DefaultCurve	default term structure object ID.
RecoveryRate	constant recovery rate
YieldCurve	discounting yield term structure object ID.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlNthToDefault

string returnValue
 
qlNthToDefault(
        string ObjectId
        string Basket
        long Order
        string BuyerSeller
        string PremiumSchedule
        double Upfront
        double Spread
        string DayCounter
        double Notional
        bool SettlesAccrual
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class NthToDefault and return its id

Supported Platforms:

Excel, C++

Parameters

ObjectId	id of object to be created
Basket	Underlying tranched portfolio.
Order	Contract default order.
BuyerSeller	BUYER for bought, SELLER for sold protection. Default value = Buyer.
PremiumSchedule	premium leg Schedule object ID.
Upfront	upfront in fractional units
Spread	running spread in fractional units
DayCounter	premium leg day counter (e.g. Actual/360).
Notional	Nominal amount
SettlesAccrual	Accrual settled at default.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlPiecewiseFlatForwardCurve

string returnValue
 
qlPiecewiseFlatForwardCurve(
        string ObjectId
        long ReferenceDate
        vector<string> RateHelpers
        string DayCounter
        double Accuracy
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class PiecewiseFlatForwardCurve and return its id

Supported Platforms:

Excel, Calc, C++

Parameters

ObjectId	id of object to be created
ReferenceDate	term structure reference date. Default value = QuantLib::Date().
RateHelpers	vector of rate-helpers.
DayCounter	DayCounter ID. Default value = Actual/365 (Fixed).
Accuracy	Bootstrapping accuracy. Default value = 1.0e-12.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlPiecewiseHazardRateCurve

string returnValue
 
qlPiecewiseHazardRateCurve(
        string ObjectId
        vector<string> Helpers
        string DayCounter
        string Calendar
        string Interpolation
        double Accuracy
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class PiecewiseHazardRateCurve and return its id

Supported Platforms:

Excel, Calc, C++

Parameters

ObjectId	id of object to be created
Helpers	vector of default probability helpers.
DayCounter	DayCounter ID. Default value = Actual/365 (Fixed).
Calendar	holiday calendar (e.g. TARGET).
Interpolation	The interpolator for hazard rates.
Accuracy	Bootstrapping accuracy. Default value = 1.0e-12.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlRiskyFixedBond

string returnValue
 
qlRiskyFixedBond(
        string ObjectId
        string Bondname
        string Currency
        double Recovery
        string DefaultCurve
        string Schedule
        double Rate
        string DayCounter
        string PaymentConvention
        double Notional
        string DiscountingCurve
        long PricingDate
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class RiskyFixedBond and return its id

Supported Platforms:

Excel, Calc, C++

Parameters

ObjectId	id of object to be created
Bondname	Bonds id.
Currency	Curency of the reference bond affected.
Recovery	Recovery Rate.
DefaultCurve	default term structure object ID.
Schedule	Schedule.
Rate	Rate.
DayCounter	premium leg day counter (e.g. Actual/360).
PaymentConvention	Payment dates' business day convention. Default value = Following.
Notional	Notional.
DiscountingCurve	discounting YieldTermStructure object ID.
PricingDate	desired npv date.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlSpreadCdsHelper

string returnValue
 
qlSpreadCdsHelper(
        string ObjectId
        string RunningSpread
        string Tenor
        long SettlementDays
        string Calendar
        string Frequency
        string PaymentConvention
        string GenRule
        string DayCounter
        double RecoveryRate
        string DiscountingCurve
        bool SettleAccrual
        bool PayAtDefault
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class SpreadCdsHelper and return its id

Supported Platforms:

Excel, Calc, C++

Parameters

ObjectId	id of object to be created
RunningSpread	quote.
Tenor	CDS length (e.g. 5Y for five years).
SettlementDays	settlement days Default value = 0.
Calendar	holiday calendar (e.g. TARGET).
Frequency	payment frequency (e.g. Annual, Semiannual, Every4Month, Quarterly, Bimonthly, Monthly).
PaymentConvention	payment leg convention (e.g. Unadjusted).
GenRule	Date generation rule (Backward, Forward, ThirdWednesday, Twentieth, TwentiethIMM, Zero).
DayCounter	day counter (e.g. Actual/360).
RecoveryRate	recovery rate
DiscountingCurve	discounting YieldTermStructure object ID.
SettleAccrual	TRUE ensures settlement of accural. Default value = true.
PayAtDefault	TRUE ensures payment at default time Default value = true.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlSyntheticCDO

string returnValue
 
qlSyntheticCDO(
        string ObjectId
        string Basket
        string BuyerSeller
        string PremiumSchedule
        double Upfront
        double Spread
        string DayCounter
        string PaymentConvention
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class SyntheticCDO and return its id

Supported Platforms:

Excel, C++

Parameters

ObjectId	id of object to be created
Basket	Underlying tranched portfolio.
BuyerSeller	BUYER for bought, SELLER for sold protection. Default value = Buyer.
PremiumSchedule	premium leg Schedule object ID.
Upfront	upfront in fractional units
Spread	running spread in fractional units
DayCounter	premium leg day counter (e.g. Actual/360).
PaymentConvention	Payment dates' business day convention. Default value = Following.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlUpfrontCdsHelper

string returnValue
 
qlUpfrontCdsHelper(
        string ObjectId
        string UpfrontSpread
        double RunningSpread
        string Tenor
        long SettlementDays
        string Calendar
        string Frequency
        string PaymentConvention
        string GenRule
        string DayCounter
        double RecRate
        string DiscCurve
        long UpfSettlDays
        bool SettlAccr
        bool PayAtDefault
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class UpfrontCdsHelper and return its id

Supported Platforms:

Excel, Calc

Parameters

ObjectId	id of object to be created
UpfrontSpread	upfront spread quote.
RunningSpread	running spread.
Tenor	CDS length (e.g. 5Y for five years).
SettlementDays	settlement days Default value = 0.
Calendar	holiday calendar (e.g. TARGET).
Frequency	payment frequency (e.g. Annual, Semiannual, Every4Month, Quarterly, Bimonthly, Monthly).
PaymentConvention	payment leg convention (e.g. Unadjusted).
GenRule	Date generation rule (Backward, Forward, ThirdWednesday, Twentieth, TwentiethIMM, Zero).
DayCounter	day counter (e.g. Actual/360).
RecRate	recovery rate
DiscCurve	discounting YieldTermStructure object ID.
UpfSettlDays	upfront settlement days
SettlAccr	TRUE ensures settlement of accural. Default value = true.
PayAtDefault	TRUE ensures payment at default time Default value = true.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag