generatordefaulttermstructure.hpp File Reference

Default curve implied from a single generator matrix. More...

#include <ql/math/matrix.hpp>
#include <ql/termstructures/credit/survivalprobabilitystructure.hpp>
#include <ql/time/calendars/nullcalendar.hpp>
#include <ql/time/daycounters/actual365fixed.hpp>

Go to the source code of this file.

Classes
class	GeneratorDefaultProbabilityTermStructure
	Default probability term structure implied from a transition matrix. More...

Namespaces
namespace	QuantExt

Detailed Description

Default curve implied from a single generator matrix.

Definition in file generatordefaulttermstructure.hpp.