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probabilitytraits.hpp
Langue: en
Version: 377194 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
NAME
ql/termstructures/credit/probabilitytraits.hpp -default-probability bootstrap traits
SYNOPSIS
#include <ql/termstructures/credit/interpolatedsurvivalprobabilitycurve.hpp>
#include <ql/termstructures/credit/interpolatedhazardratecurve.hpp>
#include <ql/termstructures/credit/interpolateddefaultdensitycurve.hpp>
#include <ql/termstructures/bootstraphelper.hpp>
Classes
struct SurvivalProbability
Survival-Probability-curve traits.
struct HazardRate
Hazard-rate-curve traits.
struct DefaultDensity
Default-density-curve traits.
Variables
const Rate avgHazardRate = 0.01
Detailed Description
default-probability bootstrap traits
Author
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