probabilitytraits.hpp File Reference

default probability bootstrap traits for QuantExt More...

#include <ql/termstructures/bootstraphelper.hpp>
#include <ql/termstructures/credit/interpolateddefaultdensitycurve.hpp>
#include <ql/termstructures/credit/interpolatedhazardratecurve.hpp>
#include <ql/termstructures/credit/interpolatedsurvivalprobabilitycurve.hpp>

Classes
struct	SurvivalProbability
	Survival probability curve traits. More...
struct	SurvivalProbability::curve< Interpolator >

Variables
const QuantLib::Real	avgHazardRate = 0.01
const QuantLib::Real	maxHazardRate = 3.0

Detailed Description

default probability bootstrap traits for QuantExt