QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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bootstrap helpers for default-probability term structures More...
#include <ql/termstructures/defaulttermstructure.hpp>
#include <ql/termstructures/bootstraphelper.hpp>
#include <ql/time/schedule.hpp>
#include <ql/instruments/creditdefaultswap.hpp>
Go to the source code of this file.
Classes | |
class | CdsHelper |
Base class for CDS helpers. More... | |
class | SpreadCdsHelper |
Spread-quoted CDS hazard rate bootstrap helper. More... | |
class | UpfrontCdsHelper |
Upfront-quoted CDS hazard rate bootstrap helper. More... | |
Namespaces | |
namespace | QuantLib |
Typedefs | |
typedef BootstrapHelper< DefaultProbabilityTermStructure > | DefaultProbabilityHelper |
alias for default-probability bootstrap helpers More... | |
typedef RelativeDateBootstrapHelper< DefaultProbabilityTermStructure > | RelativeDateDefaultProbabilityHelper |
bootstrap helpers for default-probability term structures
Definition in file defaultprobabilityhelpers.hpp.