Measure for CDS and CDS index #1466

merged 1 commit into from Jan 10, 2017


None yet
2 participants

yukiiwashita commented Jan 9, 2017

  • 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.

Reviewing code locally

@jodastephen jodastephen merged commit 6db04f7 into topic/cds-merge Jan 10, 2017

2 checks passed

continuous-integration/travis-ci/pr The Travis CI build passed
continuous-integration/travis-ci/push The Travis CI build passed

@jodastephen jodastephen deleted the topic/cds-measure branch Jan 10, 2017

@jodastephen jodastephen modified the milestone: v1.2 Feb 17, 2017

Sign up for free to join this conversation on GitHub. Already have an account? Sign in to comment