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Export new trade date argument for CDS-helper constructors #900

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Merged
lballabio merged 1 commit into from
Aug 3, 2026
Merged

Export new trade date argument for CDS-helper constructors #900

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18 changes: 12 additions & 6 deletions SWIG/defaultprobability.i
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Original file line number Diff line number Diff line change
Expand Up @@ -214,7 +214,8 @@ class SpreadCdsHelper : public DefaultProbabilityHelper {
const Date& startDate = Date(),
const DayCounter& lastPeriodDayCounter = DayCounter(),
bool rebatesAccrual = true,
CreditDefaultSwap::PricingModel model = CreditDefaultSwap::Midpoint);
CreditDefaultSwap::PricingModel model = CreditDefaultSwap::Midpoint,
const Date& tradeDate = Date());
#else
SpreadCdsHelper(
const Handle<Quote>& spread,
Expand All @@ -232,7 +233,8 @@ class SpreadCdsHelper : public DefaultProbabilityHelper {
const Date& startDate = Date(),
const DayCounter& lastPeriodDayCounter = DayCounter(),
bool rebatesAccrual = true,
CreditDefaultSwap::PricingModel model = CreditDefaultSwap::Midpoint);
CreditDefaultSwap::PricingModel model = CreditDefaultSwap::Midpoint,
const Date& tradeDate = Date());
SpreadCdsHelper(
Rate spread,
const Period& tenor,
Expand All @@ -249,7 +251,8 @@ class SpreadCdsHelper : public DefaultProbabilityHelper {
const Date& startDate = Date(),
const DayCounter& lastPeriodDayCounter = DayCounter(),
bool rebatesAccrual = true,
CreditDefaultSwap::PricingModel model = CreditDefaultSwap::Midpoint);
CreditDefaultSwap::PricingModel model = CreditDefaultSwap::Midpoint,
const Date& tradeDate = Date());
#endif
};

Expand Down Expand Up @@ -277,7 +280,8 @@ class UpfrontCdsHelper : public DefaultProbabilityHelper {
const Date& startDate = Date(),
const DayCounter& lastPeriodDayCounter = DayCounter(),
bool rebatesAccrual = true,
CreditDefaultSwap::PricingModel model = CreditDefaultSwap::Midpoint);
CreditDefaultSwap::PricingModel model = CreditDefaultSwap::Midpoint,
const Date& tradeDate = Date());
#else
UpfrontCdsHelper(
const Handle<Quote>& upfront,
Expand All @@ -297,7 +301,8 @@ class UpfrontCdsHelper : public DefaultProbabilityHelper {
const Date& startDate = Date(),
const DayCounter& lastPeriodDayCounter = DayCounter(),
bool rebatesAccrual = true,
CreditDefaultSwap::PricingModel model = CreditDefaultSwap::Midpoint);
CreditDefaultSwap::PricingModel model = CreditDefaultSwap::Midpoint,
const Date& tradeDate = Date());
UpfrontCdsHelper(
Rate upfront,
Rate spread,
Expand All @@ -316,7 +321,8 @@ class UpfrontCdsHelper : public DefaultProbabilityHelper {
const Date& startDate = Date(),
const DayCounter& lastPeriodDayCounter = DayCounter(),
bool rebatesAccrual = true,
CreditDefaultSwap::PricingModel model = CreditDefaultSwap::Midpoint);
CreditDefaultSwap::PricingModel model = CreditDefaultSwap::Midpoint,
const Date& tradeDate = Date());
#endif
};

Expand Down