QuantLib: ql/experimental/credit Directory Reference

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.