CDS (1)

Example of credit-default swap pricing

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  4. 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.

RELATED TO CDS…

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 <[email protected]>, the Debian GNU/Linux maintainer for QuantLib.