Default curve implied from a single generator matrix. More...
#include <ql/math/matrix.hpp>
#include <ql/termstructures/credit/survivalprobabilitystructure.hpp>
#include <ql/time/calendars/nullcalendar.hpp>
#include <ql/time/daycounters/actual365fixed.hpp>
Classes | |
class | GeneratorDefaultProbabilityTermStructure |
Default probability term structure implied from a transition matrix. More... | |
Default curve implied from a single generator matrix.