QuantLib_GaussianRecursiveCdoEngine

Langue: en

Version: 377255 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

NAME

QuantLib::GaussianRecursiveCdoEngine -

Specialization for Gaussian copula, the integration still remains.

SYNOPSIS


#include <ql/experimental/credit/recursivecdoengine.hpp>

Inherits RecursiveCdoEngine< CDOEngine, OneFactorGaussianCopula >.

Public Member Functions


GaussianRecursiveCdoEngine (const Handle< Quote > &correlQuote, Size nbuckets=1, Size quadOrder=12, Real maxval=5., Size steps=50)
quote constructor.

Detailed Description

template<class CDOEngine> class QuantLib::GaussianRecursiveCdoEngine< CDOEngine >

Specialization for Gaussian copula, the integration still remains.

Author

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