CDS

Langue: en

Autres versions - même langue

Version: 18 July 2008 (ubuntu - 24/10/10)

Section: 1 (Commandes utilisateur)

Sommaire

NAME

CDS - Example of Credit-Default Swap pricing

SYNOPSIS

CDS

DESCRIPTION

CDS is an example of using QuantLib.

It bootstraps a default-probability curve over a number of CDS and reprices them.

SEE ALSO

The source code CDS.cpp, BermudanSwaption(1), Bonds(1), CallableBonds(1), ConvertibleBonds(1), DiscreteHedging(1), EquityOption(1), FittedBondCurve(1), FRA(1), MarketModels(1), Replication(1), Repo(1), SwapValuation(1), the QuantLib documentation and website at http://quantlib.org.

AUTHORS

The QuantLib Group (see Authors.txt).

This manual page was added by Dirk Eddelbuettel <edd@debian.org>, the Debian GNU/Linux maintainer for QuantLib.