|
| file | basecorrelationlossmodel.hpp |
| |
| file | basecorrelationstructure.hpp |
| |
| file | basket.hpp |
| | basket of issuers and related notionals
|
| |
| file | binomiallossmodel.hpp |
| |
| file | blackcdsoptionengine.hpp |
| | Black credit default swap option engine.
|
| |
| file | cdo.hpp |
| | collateralized debt obligation
|
| |
| file | cdsoption.hpp |
| | CDS option.
|
| |
| file | constantlosslatentmodel.hpp |
| |
| file | correlationstructure.hpp |
| |
| file | defaultevent.hpp |
| | Classes for default-event description.
|
| |
| file | defaultlossmodel.hpp |
| |
| file | defaultprobabilitykey.hpp |
| | Classes for default-event description.
|
| |
| file | defaultprobabilitylatentmodel.hpp |
| |
| 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 | gaussianlhplossmodel.hpp |
| |
| file | homogeneouspooldef.hpp |
| |
| file | inhomogeneouspooldef.hpp |
| |
| file | integralcdoengine.hpp |
| |
| file | integralntdengine.hpp |
| |
| 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 | midpointcdoengine.hpp |
| |
| 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 | randomdefaultlatentmodel.hpp |
| |
| file | randomdefaultmodel.hpp |
| | Random default-time scenarios for a pool of credit names.
|
| |
| file | randomlosslatentmodel.hpp |
| |
| file | recoveryratemodel.hpp |
| |
| file | recoveryratequote.hpp |
| |
| file | recursivelossmodel.hpp |
| |
| file | riskyassetswap.hpp |
| | Risky asset-swap instrument.
|
| |
| file | riskyassetswapoption.hpp |
| | option on risky asset swap
|
| |
| file | riskybond.hpp |
| | Defaultable bonds.
|
| |
| file | saddlepointlossmodel.hpp |
| |
| file | spotlosslatentmodel.hpp |
| |
| file | spreadedhazardratecurve.hpp |
| | Default-probability structure with an additive spread on hazard rates.
|
| |
| file | syntheticcdo.hpp |
| | Synthetic Collateralized Debt Obligation and pricing engines.
|
| |