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defaultprobabilityhelpers.hpp
Langue: en
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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