QuantLib_RandomDefaultModel

Langue: en

Autres versions - même langue

Version: 383024 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

NAME

QuantLib::RandomDefaultModel -

Base class for random default models.

SYNOPSIS


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

Inherited by GaussianRandomDefaultModel.

Public Member Functions


RandomDefaultModel (boost::shared_ptr< Pool > pool, const std::vector< DefaultProbKey > &defaultKeys)

virtual void nextSequence (Real tmax=QL_MAX_REAL)=0

virtual void reset ()=0

Protected Attributes


boost::shared_ptr< Pool > pool_

std::vector< DefaultProbKey > defaultKeys_

Detailed Description

Base class for random default models.

Provides sequences of random default times for each name in the pool.

Member Function Documentation

virtual void nextSequence (Real tmax = QL_MAX_REAL) [pure virtual]Generate a sequence of random default times, one for each name in the pool, and store the result in the Pool using method setTime(name). tmax denotes the maximum relevant time- default times > tmax are not computed but set to tmax + 1 instead to save coputation time.

Implemented in GaussianRandomDefaultModel.

Author

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