QuantLib
: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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ql
experimental
credit
credit Directory Reference
Files
file
basecorrelationlossmodel.hpp
[code]
file
basecorrelationstructure.cpp
[code]
file
basecorrelationstructure.hpp
[code]
file
basket.cpp
[code]
file
basket.hpp
[code]
basket of issuers and related notionals
file
binomiallossmodel.hpp
[code]
file
blackcdsoptionengine.cpp
[code]
file
blackcdsoptionengine.hpp
[code]
Black credit default swap option engine.
file
cdo.cpp
[code]
file
cdo.hpp
[code]
collateralized debt obligation
file
cdsoption.cpp
[code]
file
cdsoption.hpp
[code]
CDS option.
file
constantlosslatentmodel.hpp
[code]
file
correlationstructure.cpp
[code]
file
correlationstructure.hpp
[code]
file
defaultevent.cpp
[code]
file
defaultevent.hpp
[code]
Classes for default-event description.
file
defaultlossmodel.hpp
[code]
file
defaultprobabilitykey.cpp
[code]
file
defaultprobabilitykey.hpp
[code]
Classes for default-event description.
file
defaultprobabilitylatentmodel.hpp
[code]
file
defaulttype.cpp
[code]
file
defaulttype.hpp
[code]
Classes for default-event description.
file
distribution.cpp
[code]
Discretized probability density and cumulative probability.
file
distribution.hpp
[code]
Discretized probability density and cumulative probability.
file
factorspreadedhazardratecurve.hpp
[code]
Default-probability structure with a multiplicative spread on hazard rates.
file
gaussianlhplossmodel.cpp
[code]
file
gaussianlhplossmodel.hpp
[code]
file
homogeneouspooldef.hpp
[code]
file
inhomogeneouspooldef.hpp
[code]
file
integralcdoengine.cpp
[code]
file
integralcdoengine.hpp
[code]
file
integralntdengine.cpp
[code]
file
integralntdengine.hpp
[code]
file
interpolatedaffinehazardratecurve.hpp
[code]
file
issuer.cpp
[code]
file
issuer.hpp
[code]
Classes for credit-name handling.
file
loss.hpp
[code]
Pair of loss time and amount, sortable by loss time.
file
lossdistribution.cpp
[code]
file
lossdistribution.hpp
[code]
Loss distributions and probability of n defaults.
file
midpointcdoengine.cpp
[code]
file
midpointcdoengine.hpp
[code]
file
nthtodefault.cpp
[code]
file
nthtodefault.hpp
[code]
N-th to default swap.
file
onefactoraffinesurvival.hpp
[code]
file
onefactorcopula.cpp
[code]
file
onefactorcopula.hpp
[code]
One-factor copula base class.
file
onefactorgaussiancopula.cpp
[code]
file
onefactorgaussiancopula.hpp
[code]
One-factor Gaussian copula.
file
onefactorstudentcopula.cpp
[code]
file
onefactorstudentcopula.hpp
[code]
One-factor Student-t copula.
file
pool.cpp
[code]
file
pool.hpp
[code]
pool of issuers
file
randomdefaultlatentmodel.hpp
[code]
file
randomdefaultmodel.cpp
[code]
file
randomdefaultmodel.hpp
[code]
Random default-time scenarios for a pool of credit names.
file
randomlosslatentmodel.hpp
[code]
file
recoveryratemodel.cpp
[code]
file
recoveryratemodel.hpp
[code]
file
recoveryratequote.cpp
[code]
file
recoveryratequote.hpp
[code]
file
recursivelossmodel.hpp
[code]
file
riskyassetswap.cpp
[code]
file
riskyassetswap.hpp
[code]
Risky asset-swap instrument.
file
riskyassetswapoption.cpp
[code]
file
riskyassetswapoption.hpp
[code]
option on risky asset swap
file
saddlepointlossmodel.hpp
[code]
file
spotlosslatentmodel.hpp
[code]
file
spreadedhazardratecurve.hpp
[code]
Default-probability structure with an additive spread on hazard rates.
file
syntheticcdo.cpp
[code]
file
syntheticcdo.hpp
[code]
Synthetic Collateralized Debt Obligation and pricing engines.
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