QuantLib_SyntheticCDO_engine

Langue: en

Autres versions - même langue

Version: 380238 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

NAME

QuantLib::SyntheticCDO::engine -

CDO base engine.

SYNOPSIS


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

Inherits GenericEngine< SyntheticCDO::arguments, SyntheticCDO::results >.

Inherited by IntegralCDOEngine, MidPointCDOEngine, and MonteCarloCDOEngine2.

Protected Member Functions


virtual Real expectedTrancheLoss (const Date &) const =0

virtual void initialize () const

Protected Attributes


boost::shared_ptr< Basket > remainingBasket_

Detailed Description

CDO base engine.

Author

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