defaultprobabilityhelpers.hpp

Langue: en

Autres versions - même langue

Version: 160546 (fedora - 05/07/09)

Section: 3 (Bibliothèques de fonctions)

Sommaire

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/dategenerationrule.hpp>

Classes


class CdsHelper
Default-probability bootstrap helper based on quoted CDS spreads.

Typedefs


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

Detailed Description

bootstrap helpers for default-probability term structures

Author

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