defaultprobabilityhelper(3)

ql/termstructures/credit/defaultprobabilityhelpers.hpp – bootstrap helpers for default-probability term structures

Synopsis

#include <ql/termstructures/defaulttermstructure.hpp>
#include <ql/termstructures/bootstraphelper.hpp>
#include <ql/time/dategenerationrule.hpp>

Classes

class CdsHelper
Default-probability bootstrap helper based on quoted CDS spreads.

Typedefs

typedef BootstrapHelper< DefaultProbabilityTermStructure > DefaultProbabilityHelper
alias for default-probability bootstrap helpers

Detailed Description

bootstrap helpers for default-probability term structures

Author

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