adjusteddefaultcurve.hpp File Reference

default curve with SP(t) = exp(-int_0^t m * h(s) ds), with a multiplier m and source curve defining h(s) More...

#include <ql/termstructures/credit/survivalprobabilitystructure.hpp>

Go to the source code of this file.

Classes
class	AdjustedDefaultCurve

Namespaces
namespace	QuantExt

Detailed Description

default curve with SP(t) = exp(-int_0^t m * h(s) ds), with a multiplier m and source curve defining h(s)

Definition in file adjusteddefaultcurve.hpp.