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Measure for CDS and CDS index #1466

merged 1 commit into from Jan 10, 2017


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  • Implemented CalculationFunction and related objects for CDS and CDS index.
  • Added jump-to-default and expected loss in the pricer level.
  • Created an interface for CreditRatesProvider and Added of methods to the credit specific discount factors interface.

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Reviewing code locally

@jodastephen jodastephen merged commit 6db04f7 into topic/cds-merge Jan 10, 2017
@jodastephen jodastephen deleted the topic/cds-measure branch January 10, 2017 17:31
@jodastephen jodastephen modified the milestone: v1.2 Feb 17, 2017
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2 participants