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

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)
 

Detailed Description

Credit default swap.

Definition in file creditdefaultswap.hpp.