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