ImpliedBondSpreadHelper Class Reference

helper class for implied vanilla bond spread calculation More...

#include <qle/instruments/impliedbondspread.hpp>

Static Public Member Functions
static QuantLib::Real	calculate (const boost::shared_ptr< QuantLib::Bond > &bond, const boost::shared_ptr< QuantLib::PricingEngine > &engine, const boost::shared_ptr< QuantLib::SimpleQuote > &spreadQuote, QuantLib::Real targetValue, bool isCleanPrice, QuantLib::Real accuracy, QuantLib::Natural maxEvaluations, QuantLib::Real minSpread, QuantLib::Real maxSpread)

Detailed Description

helper class for implied vanilla bond spread calculation

The passed engine must be linked to the passed quote

Note

this function is meant for developers of bond classes so that they can compute a fair credit spread, or infer spread from quoted bond price.