 |
| THIcredput |
Calculate the price of a default put (default swap)
using credit spread methodology |
| THIcredputtm |
Calculate the price of a default put (default swap)
using transition-matrix approach |
| THIcredtmdefault |
Return default rating transition matrix used by credit
QuantTools functions |
| THIopcredput |
Calculate the value of options on credit puts using Monte
Carlo and the credit spread to infer default rates |
| THIopcredputtm |
Calculate the value of options on credit puts using a
transition-matrix approach |
| THIcredbasketdef |
Calculate the price of a credit basket default swap |
| THIcredbasketloss |
Calculate the price of a credit basket default loss swap |
| THIcredspread |
Calculate spread option prices using a modified Black model |
| THIcreditver |
Return credit module version information |
