QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Classes | Namespaces | Typedefs
defaultprobabilityhelpers.hpp File Reference

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
 

Detailed Description

bootstrap helpers for default-probability term structures

Definition in file defaultprobabilityhelpers.hpp.