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 | recoveryratemodel.hpp |
file | recoveryratequote.hpp |
file | recursivecdoengine.hpp |
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. | |
file | syntheticcdoengines.hpp |
Pricing engines for the Synthetic CDO instrument. | |