lgmimplieddefaulttermstructure.hpp File Reference

default probability structure implied by a LGM model More...

#include <qle/models/crossassetmodel.hpp>
#include <ql/termstructures/credit/survivalprobabilitystructure.hpp>

Classes
class	LgmImpliedDefaultTermStructure
	Lgm Implied Default Term Structure. More...

Detailed Description

default probability structure implied by a LGM model