defaultprobabilityhelpers.hpp

Langue: en

Autres versions - même langue

Version: 377897 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

NAME

ql/termstructures/credit/defaultprobabilityhelpers.hpp -

bootstrap helpers for default-probability term structures

SYNOPSIS


#include <ql/termstructures/defaulttermstructure.hpp>
#include <ql/termstructures/bootstraphelper.hpp>
#include <ql/time/schedule.hpp>

Classes


class CdsHelper

class SpreadCdsHelper
Spread-quoted CDS hazard rate bootstrap helper.
class UpfrontCdsHelper
Upfront-quoted CDS hazard rate bootstrap helper.

Typedefs


typedef BootstrapHelper< DefaultProbabilityTermStructure > DefaultProbabilityHelper
alias for default-probability bootstrap helpers
typedef RelativeDateBootstrapHelper< DefaultProbabilityTermStructure > RelativeDateDefaultProbabilityHelper

Detailed Description

bootstrap helpers for default-probability term structures

Author

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