probabilitytraits.hpp

Langue: en

Autres versions - même langue

Version: 377194 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

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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