hullwhitebucketing.hpp File Reference

probability bucketing as in Valuation of a CDO and an nth to Default CDS without Monte Carlo Simulation, Appdx. B More...

#include <ql/math/array.hpp>
#include <ql/math/comparison.hpp>

Go to the source code of this file.

Classes
class	Bucketing
class	HullWhiteBucketing

Namespaces
namespace	QuantExt

Detailed Description

probability bucketing as in Valuation of a CDO and an nth to Default CDS without Monte Carlo Simulation, Appdx. B

Definition in file hullwhitebucketing.hpp.