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Re: Credit curves

Posted by Luigi Ballabio on Sep 26, 2007; 3:37pm
URL: http://quantlib.414.s1.nabble.com/Credit-curves-tp9816p9817.html

On Wed, 2007-09-26 at 14:18 +0100, Simon Ibbotson wrote:
> Hi, is there any developer out there planning to contribute a CDS /
> bond curves (using reduced form approach)? I wouldn't want to
> duplicate any work.

There might be a contribution shortly. I don't think that it uses
reduced form approach, but it should at least define a base interface
for the default-probability curve. I'll get back as soon as I know for
sure.

Luigi


--

Use every man after his desert, and who shall scape whipping?
-- Hamlet, Act II, scene II



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