QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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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.