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defaultprobabilityhelpers.hpp
Langue: en
Version: 160546 (fedora - 05/07/09)
Section: 3 (Bibliothèques de fonctions)
NAME
ql/termstructures/credit/defaultprobabilityhelpers.hpp - bootstrap helpers for default-probability term structuresSYNOPSIS
#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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