Re: Bootstrapping default probabilities

Posted by japari on
URL: http://quantlib.414.s1.nabble.com/Bootstrapping-default-probabilities-tp8376p8381.html

Quoting Luigi Ballabio <[hidden email]>:

> On Thu, 2009-12-17 at 11:42 +0100, Jose Aparicio-Navarro wrote:
> > Luigi, I am proposing patches to add cds index and relatives soon, but it
> also
> > contains a few minor changes that could go in 1.0 if its not too late.
>
> Ok for 1.0---I'd have the correct new CDS rules in there rather than the
> old ones.  Send me a patch when you have the final version.
>
> Thanks,
> Luigi
>

The name might not be the best of all, "CreditStd" instead?
I kept the old CDS rule, even if that period might be in the past there will be
outstanding contracts with that rule.

The patches werent generated with a svn client but with diff directly. Hope
thats all right. Test-suite passes.

This is a patch just for the rules, I am sending the other stuff through
sourceforge.

Best regards
Pepe
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