QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Credit default swap. More...
#include <ql/instrument.hpp>
#include <ql/cashflows/simplecashflow.hpp>
#include <ql/default.hpp>
#include <ql/termstructures/defaulttermstructure.hpp>
#include <ql/time/schedule.hpp>
#include <ql/optional.hpp>
Go to the source code of this file.
Classes | |
class | CreditDefaultSwap |
Credit default swap. More... | |
class | CreditDefaultSwap::arguments |
class | CreditDefaultSwap::results |
class | CreditDefaultSwap::engine |
Namespaces | |
namespace | QuantLib |
Functions | |
Date | cdsMaturity (const Date &tradeDate, const Period &tenor, DateGeneration::Rule rule) |
Credit default swap.
Definition in file creditdefaultswap.hpp.