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credit Directory Reference

Directory dependency graph for QuantLib-0.9.7/ql/experimental/credit/:
QuantLib-0.9.7/ql/experimental/credit/

Files

file  all.hpp [code]
file  basket.cpp [code]
file  basket.hpp [code]
 

basket of issuers and related notionals


file  cdo.cpp [code]
file  cdo.hpp [code]
file  cdsoption.cpp [code]
file  cdsoption.hpp [code]
file  distribution.cpp [code]
 

Discretized probability density and cumulative probability.


file  distribution.hpp [code]
 

Discretized probability density and cumulative probability.


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  nthtodefault.cpp [code]
file  nthtodefault.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  randomdefaultmodel.cpp [code]
file  randomdefaultmodel.hpp [code]
 

Random default-time scenarios for a pool of credit names.


file  riskyassetswap.cpp [code]
file  riskyassetswap.hpp [code]
 

Risky asset-swap instrument.


file  syntheticcdo.cpp [code]
file  syntheticcdo.hpp [code]
 

Synthetic Collateralized Debt Obligation and pricing engines.


file  syntheticcdoengines.cpp [code]
file  syntheticcdoengines.hpp [code]
 

Pricing engines for the Synthetic CDO instrument.



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