lballabio/quantlib — pull request #37 by pcaspers (2013-10-03 18:33:49+00:00)
Title: creditriskplus

This is an implementation of an extended credit risk plus model as described in "Integrating Correlations", Risk July 1999 together with some unit tests using example values from the same reference. Though a bit different in nature from the other models in the library I believe it could make sense to have a lightweight and standard credit portfolio model on board.

Please note that i did not update the vc and dev files.