spreadedsurvivalprobabilitytermstructure.hpp File Reference

spreaded default term structure More...

#include <ql/math/interpolations/loginterpolation.hpp>
#include <ql/patterns/lazyobject.hpp>
#include <ql/quote.hpp>
#include <ql/termstructures/credit/survivalprobabilitystructure.hpp>

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Classes
class	SpreadedSurvivalProbabilityTermStructure
	Spreaded Default Term Structure, the spread is given in terms of loglinearly interpolated survival probabilities. More...

Namespaces
namespace	QuantExt

Detailed Description

spreaded default term structure

Definition in file spreadedsurvivalprobabilitytermstructure.hpp.