cdo.cpp File Reference

#include <ored/portfolio/builders/cdo.hpp>
#include <ored/portfolio/cdo.hpp>
#include <qle/pricingengines/midpointcdoengine.hpp>
#include <qle/pricingengines/midpointindexcdsengine.hpp>
#include <ql/math/interpolations/backwardflatinterpolation.hpp>
#include <ql/math/interpolations/loginterpolation.hpp>
#include <ql/termstructures/credit/flathazardrate.hpp>
#include <qle/termstructures/interpolatedhazardratecurve.hpp>
#include <qle/termstructures/interpolatedsurvivalprobabilitycurve.hpp>
#include <qle/termstructures/multisectiondefaultcurve.hpp>
#include <qle/termstructures/spreadedsurvivalprobabilitytermstructure.hpp>
#include <qle/termstructures/survivalprobabilitycurve.hpp>

Go to the source code of this file.

Namespaces
namespace	ore
	Serializable Credit Default Swap.
namespace	ore::data

Functions
std::vector< Handle< DefaultProbabilityTermStructure > >	buildPerformanceOptimizedDefaultCurves (const std::vector< Handle< DefaultProbabilityTermStructure > > &curves)