HPIntegralCDOEngine (3) - Linux Manuals

HPIntegralCDOEngine: Pricing engines for the Synthetic CDO instrument.

NAME

ql/experimental/credit/syntheticcdoengines.hpp - Pricing engines for the Synthetic CDO instrument.

SYNOPSIS

#include <ql/experimental/credit/syntheticcdo.hpp>
#include <ql/experimental/credit/randomdefaultmodel.hpp>
#include <ql/math/distributions/normaldistribution.hpp>
#include <ql/math/distributions/bivariatenormaldistribution.hpp>

Classes

class engine
CDO base engine.
class MidPointCDOEngine
CDO base engine taking schedule steps.
class IntegralCDOEngine
CDO base engine taking (possibly) small time steps.
class MonteCarloCDOEngine1
CDO engine, Monte Carlo for the exptected tranche loss distribution.
class MonteCarloCDOEngine2
CDO engine, Monte Carlo for the sample payoff.
class HomogeneousPoolCDOEngine< CDOEngine >
CDO engine, loss distribution convolution for finite homogeneous pool.
class InhomogeneousPoolCDOEngine< CDOEngine >
CDO engine, loss disctribution bucketing for finite inhomogeneous pool.
class GaussianLHPCDOEngine< CDOEngine >

Typedefs

typedef HomogeneousPoolCDOEngine< MidPointCDOEngine > HPMidPointCDOEngine

typedef HomogeneousPoolCDOEngine< IntegralCDOEngine > HPIntegralCDOEngine

typedef InhomogeneousPoolCDOEngine< MidPointCDOEngine > IHPMidPointCDOEngine

typedef InhomogeneousPoolCDOEngine< IntegralCDOEngine > IHPIntegralCDOEngine

typedef GaussianLHPCDOEngine< MidPointCDOEngine > GLHPMidPointCDOEngine

typedef GaussianLHPCDOEngine< IntegralCDOEngine > GLHPIntegralCDOEngine

Detailed Description

Pricing engines for the Synthetic CDO instrument.

Possible enhancements

Add further engines for analytical expected tranche loss cases - large homogeneous pool with Normal Inverse Gaussian, Gamma copula

Author

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