NAME¶
CDS - Example of Credit-Default Swap pricing
SYNOPSIS¶
CDS
DESCRIPTION¶
CDS is an example of using
QuantLib.
It bootstraps a default-probability curve over a number of CDS and reprices
them.
SEE ALSO¶
The source code
CDS.cpp,
BermudanSwaption(1),
Bonds(1),
CallableBonds(1),
ConvertibleBonds(1),
DiscreteHedging(1),
EquityOption(1),
FittedBondCurve(1),
FRA(1),
MarketModels(1),
Replication(1),
Repo(1),
SwapValuation(1), the QuantLib documentation and website at
http://quantlib.org.
AUTHORS¶
The QuantLib Group (see
Authors.txt).
This manual page was added by Dirk Eddelbuettel <edd@debian.org>, the
Debian GNU/Linux maintainer for
QuantLib.