QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.20
credit Directory Reference

Files

file  basket.hpp
 basket of issuers and related notionals
 
file  blackcdsoptionengine.hpp
 Black credit default swap option engine.
 
file  cdo.hpp
 collateralized debt obligation
 
file  cdsoption.hpp
 CDS option.
 
file  defaultevent.hpp
 Classes for default-event description.
 
file  defaultprobabilitykey.hpp
 Classes for default-event description.
 
file  defaulttype.hpp
 Classes for default-event description.
 
file  distribution.hpp
 Discretized probability density and cumulative probability.
 
file  factorspreadedhazardratecurve.hpp
 Default-probability structure with a multiplicative spread on hazard rates.
 
file  issuer.hpp
 Classes for credit-name handling.
 
file  loss.hpp
 Pair of loss time and amount, sortable by loss time.
 
file  lossdistribution.hpp
 Loss distributions and probability of n defaults.
 
file  nthtodefault.hpp
 N-th to default swap.
 
file  onefactorcopula.hpp
 One-factor copula base class.
 
file  onefactorgaussiancopula.hpp
 One-factor Gaussian copula.
 
file  onefactorstudentcopula.hpp
 One-factor Student-t copula.
 
file  pool.hpp
 pool of issuers
 
file  randomdefaultmodel.hpp
 Random default-time scenarios for a pool of credit names.
 
file  riskyassetswap.hpp
 Risky asset-swap instrument.
 
file  riskyassetswapoption.hpp
 option on risky asset swap
 
file  riskybond.hpp
 Defaultable bonds.
 
file  spreadedhazardratecurve.hpp
 Default-probability structure with an additive spread on hazard rates.
 
file  syntheticcdo.hpp
 Synthetic Collateralized Debt Obligation and pricing engines.