QuantLib_MonteCarloCDOEngine1

Langue: en

Autres versions - même langue

Version: 382794 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

NAME

QuantLib::MonteCarloCDOEngine1 -

CDO engine, Monte Carlo for the exptected tranche loss distribution.

SYNOPSIS


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

Inherits QuantLib::MidPointCDOEngine.

Public Member Functions


MonteCarloCDOEngine1 (boost::shared_ptr< RandomDefaultModel > rdm, Size samples)

Detailed Description

CDO engine, Monte Carlo for the exptected tranche loss distribution.

Author

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