creditCurve.h File Reference

#include "../common/types.h"
#include "../common/date.h"
#include "../PartB/yieldCurve.h"
#include <string.h>
#include <math.h>
#include <valarray>

Go to the source code of this file.

Classes
class	CreditSpreadPoint
	used to encapsulate a spread at a given maturity More...
class	creditCurve
Defines
#define	CC_MAX_NUM_SPREADS   30
#define	CC_DEFAULT_RECOVERY_RATE   0.40
#define	CC_DEFAULT_FREQUENCY   Annual
#define	CC_DEFAULT_CURRENCY   USD
#define	CC_DEFAULT_NAME   "creditCurve"
Enumerations
enum	CreditSpreadType { Absolute, Relative }

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Define Documentation

#define CC_DEFAULT_CURRENCY   USD

Definition at line 19 of file creditCurve.h.

#define CC_DEFAULT_FREQUENCY   Annual

Definition at line 18 of file creditCurve.h.

#define CC_DEFAULT_NAME   "creditCurve"

Definition at line 20 of file creditCurve.h.

#define CC_DEFAULT_RECOVERY_RATE   0.40

Definition at line 17 of file creditCurve.h.

#define CC_MAX_NUM_SPREADS   30

Definition at line 14 of file creditCurve.h. Referenced by FileReader::buildCreditSpreadPointArray(), and creditCurve::creditCurve().

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Enumeration Type Documentation

enum CreditSpreadType

Enumeration values: Absolute  Relative  Definition at line 22 of file creditCurve.h. Referenced by FileReader::buildCreditSpreadPointArray(), and CreditSpreadPoint::getSpreadType().

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