randomdefaultmodel.hpp

Langue: en

Autres versions - même langue

Version: 376339 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

NAME

ql/experimental/credit/randomdefaultmodel.hpp -

Random default-time scenarios for a pool of credit names.

SYNOPSIS


#include <ql/math/randomnumbers/rngtraits.hpp>
#include <ql/experimental/credit/pool.hpp>
#include <ql/experimental/credit/onefactorcopula.hpp>
#include <ql/experimental/credit/defaultprobabilitykey.hpp>

Classes


class RandomDefaultModel
Base class for random default models.
class GaussianRandomDefaultModel

Detailed Description

Random default-time scenarios for a pool of credit names.

Author

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