Calculation functions for credit products.
Interface Summary Interface Description CreditRatesMarketDataMarket data for credit products. CreditRatesMarketDataLookupThe lookup that provides access to credit rates in market data. CreditRatesScenarioMarketDataMarket data for products based on credit, discount and recovery rate curves, used for calculation across multiple scenarios.
Class Summary Class Description CdsIndexTradeCalculationFunctionPerform calculations on a single
CdsIndexTradefor each of a set of scenarios.
CdsTradeCalculationFunctionPerform calculations on a single
CdsTradefor each of a set of scenarios.
CreditMeasuresThe standard set of credit measures that can be calculated by Strata.