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<div id="projectbrief">A free/open-source library for quantitative finance</div>
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<li class="navelem"><a class="el" href="dir_958d2abebb9d0797c141a9841f9d5d39.html">ql</a></li><li class="navelem"><a class="el" href="dir_22288967c79201d6a97c4cec1d9fdd3a.html">experimental</a></li><li class="navelem"><a class="el" href="dir_636257dfb8331bebf8e5f9dff6bace78.html">credit</a></li> </ul>
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<div class="title">credit Directory Reference</div> </div>
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<div class="contents">
<table class="memberdecls">
<tr class="heading"><td colspan="2"><h2 class="groupheader"><a name="files"></a>
Files</h2></td></tr>
<tr class="memitem:basket_8hpp"><td class="memItemLeft" align="right" valign="top">file  </td><td class="memItemRight" valign="bottom"><b>basket.hpp</b></td></tr>
<tr class="memdesc:basket_8hpp"><td class="mdescLeft"> </td><td class="mdescRight">basket of issuers and related notionals <br /></td></tr>
<tr class="separator:"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:blackcdsoptionengine_8hpp"><td class="memItemLeft" align="right" valign="top">file  </td><td class="memItemRight" valign="bottom"><b>blackcdsoptionengine.hpp</b></td></tr>
<tr class="memdesc:blackcdsoptionengine_8hpp"><td class="mdescLeft"> </td><td class="mdescRight">Black credit default swap option engine. <br /></td></tr>
<tr class="separator:"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:cdo_8hpp"><td class="memItemLeft" align="right" valign="top">file  </td><td class="memItemRight" valign="bottom"><b>cdo.hpp</b></td></tr>
<tr class="memdesc:cdo_8hpp"><td class="mdescLeft"> </td><td class="mdescRight">collateralized debt obligation <br /></td></tr>
<tr class="separator:"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:cdsoption_8hpp"><td class="memItemLeft" align="right" valign="top">file  </td><td class="memItemRight" valign="bottom"><b>cdsoption.hpp</b></td></tr>
<tr class="memdesc:cdsoption_8hpp"><td class="mdescLeft"> </td><td class="mdescRight">CDS option. <br /></td></tr>
<tr class="separator:"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:defaultevent_8hpp"><td class="memItemLeft" align="right" valign="top">file  </td><td class="memItemRight" valign="bottom"><b>defaultevent.hpp</b></td></tr>
<tr class="memdesc:defaultevent_8hpp"><td class="mdescLeft"> </td><td class="mdescRight">Classes for default-event description. <br /></td></tr>
<tr class="separator:"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:defaultprobabilitykey_8hpp"><td class="memItemLeft" align="right" valign="top">file  </td><td class="memItemRight" valign="bottom"><b>defaultprobabilitykey.hpp</b></td></tr>
<tr class="memdesc:defaultprobabilitykey_8hpp"><td class="mdescLeft"> </td><td class="mdescRight">Classes for default-event description. <br /></td></tr>
<tr class="separator:"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:defaulttype_8hpp"><td class="memItemLeft" align="right" valign="top">file  </td><td class="memItemRight" valign="bottom"><b>defaulttype.hpp</b></td></tr>
<tr class="memdesc:defaulttype_8hpp"><td class="mdescLeft"> </td><td class="mdescRight">Classes for default-event description. <br /></td></tr>
<tr class="separator:"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:distribution_8hpp"><td class="memItemLeft" align="right" valign="top">file  </td><td class="memItemRight" valign="bottom"><b>distribution.hpp</b></td></tr>
<tr class="memdesc:distribution_8hpp"><td class="mdescLeft"> </td><td class="mdescRight">Discretized probability density and cumulative probability. <br /></td></tr>
<tr class="separator:"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:factorspreadedhazardratecurve_8hpp"><td class="memItemLeft" align="right" valign="top">file  </td><td class="memItemRight" valign="bottom"><b>factorspreadedhazardratecurve.hpp</b></td></tr>
<tr class="memdesc:factorspreadedhazardratecurve_8hpp"><td class="mdescLeft"> </td><td class="mdescRight">Default-probability structure with a multiplicative spread on hazard rates. <br /></td></tr>
<tr class="separator:"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:issuer_8hpp"><td class="memItemLeft" align="right" valign="top">file  </td><td class="memItemRight" valign="bottom"><b>issuer.hpp</b></td></tr>
<tr class="memdesc:issuer_8hpp"><td class="mdescLeft"> </td><td class="mdescRight">Classes for credit-name handling. <br /></td></tr>
<tr class="separator:"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:loss_8hpp"><td class="memItemLeft" align="right" valign="top">file  </td><td class="memItemRight" valign="bottom"><b>loss.hpp</b></td></tr>
<tr class="memdesc:loss_8hpp"><td class="mdescLeft"> </td><td class="mdescRight">Pair of loss time and amount, sortable by loss time. <br /></td></tr>
<tr class="separator:"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:lossdistribution_8hpp"><td class="memItemLeft" align="right" valign="top">file  </td><td class="memItemRight" valign="bottom"><b>lossdistribution.hpp</b></td></tr>
<tr class="memdesc:lossdistribution_8hpp"><td class="mdescLeft"> </td><td class="mdescRight">Loss distributions and probability of n defaults. <br /></td></tr>
<tr class="separator:"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:nthtodefault_8hpp"><td class="memItemLeft" align="right" valign="top">file  </td><td class="memItemRight" valign="bottom"><b>nthtodefault.hpp</b></td></tr>
<tr class="memdesc:nthtodefault_8hpp"><td class="mdescLeft"> </td><td class="mdescRight">N-th to default swap. <br /></td></tr>
<tr class="separator:"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:onefactorcopula_8hpp"><td class="memItemLeft" align="right" valign="top">file  </td><td class="memItemRight" valign="bottom"><b>onefactorcopula.hpp</b></td></tr>
<tr class="memdesc:onefactorcopula_8hpp"><td class="mdescLeft"> </td><td class="mdescRight">One-factor copula base class. <br /></td></tr>
<tr class="separator:"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:onefactorgaussiancopula_8hpp"><td class="memItemLeft" align="right" valign="top">file  </td><td class="memItemRight" valign="bottom"><b>onefactorgaussiancopula.hpp</b></td></tr>
<tr class="memdesc:onefactorgaussiancopula_8hpp"><td class="mdescLeft"> </td><td class="mdescRight">One-factor Gaussian copula. <br /></td></tr>
<tr class="separator:"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:onefactorstudentcopula_8hpp"><td class="memItemLeft" align="right" valign="top">file  </td><td class="memItemRight" valign="bottom"><b>onefactorstudentcopula.hpp</b></td></tr>
<tr class="memdesc:onefactorstudentcopula_8hpp"><td class="mdescLeft"> </td><td class="mdescRight">One-factor Student-t copula. <br /></td></tr>
<tr class="separator:"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:pool_8hpp"><td class="memItemLeft" align="right" valign="top">file  </td><td class="memItemRight" valign="bottom"><b>pool.hpp</b></td></tr>
<tr class="memdesc:pool_8hpp"><td class="mdescLeft"> </td><td class="mdescRight">pool of issuers <br /></td></tr>
<tr class="separator:"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:randomdefaultmodel_8hpp"><td class="memItemLeft" align="right" valign="top">file  </td><td class="memItemRight" valign="bottom"><b>randomdefaultmodel.hpp</b></td></tr>
<tr class="memdesc:randomdefaultmodel_8hpp"><td class="mdescLeft"> </td><td class="mdescRight">Random default-time scenarios for a pool of credit names. <br /></td></tr>
<tr class="separator:"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:riskyassetswap_8hpp"><td class="memItemLeft" align="right" valign="top">file  </td><td class="memItemRight" valign="bottom"><b>riskyassetswap.hpp</b></td></tr>
<tr class="memdesc:riskyassetswap_8hpp"><td class="mdescLeft"> </td><td class="mdescRight">Risky asset-swap instrument. <br /></td></tr>
<tr class="separator:"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:riskyassetswapoption_8hpp"><td class="memItemLeft" align="right" valign="top">file  </td><td class="memItemRight" valign="bottom"><b>riskyassetswapoption.hpp</b></td></tr>
<tr class="memdesc:riskyassetswapoption_8hpp"><td class="mdescLeft"> </td><td class="mdescRight">option on risky asset swap <br /></td></tr>
<tr class="separator:"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:riskybond_8hpp"><td class="memItemLeft" align="right" valign="top">file  </td><td class="memItemRight" valign="bottom"><b>riskybond.hpp</b></td></tr>
<tr class="memdesc:riskybond_8hpp"><td class="mdescLeft"> </td><td class="mdescRight">Defaultable bonds. <br /></td></tr>
<tr class="separator:"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:spreadedhazardratecurve_8hpp"><td class="memItemLeft" align="right" valign="top">file  </td><td class="memItemRight" valign="bottom"><b>spreadedhazardratecurve.hpp</b></td></tr>
<tr class="memdesc:spreadedhazardratecurve_8hpp"><td class="mdescLeft"> </td><td class="mdescRight">Default-probability structure with an additive spread on hazard rates. <br /></td></tr>
<tr class="separator:"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:syntheticcdo_8hpp"><td class="memItemLeft" align="right" valign="top">file  </td><td class="memItemRight" valign="bottom"><b>syntheticcdo.hpp</b></td></tr>
<tr class="memdesc:syntheticcdo_8hpp"><td class="mdescLeft"> </td><td class="mdescRight">Synthetic Collateralized Debt Obligation and pricing engines. <br /></td></tr>
<tr class="separator:"><td class="memSeparator" colspan="2"> </td></tr>
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