IntegralCDOEngine (3) - Linux Manuals

IntegralCDOEngine: CDO base engine taking (possibly) small time steps.

NAME

QuantLib::IntegralCDOEngine - CDO base engine taking (possibly) small time steps.

SYNOPSIS

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

Inherits QuantLib::SyntheticCDO::engine.

Public Member Functions

void calculate () const

IntegralCDOEngine (Period stepSize=3 *Months)

Protected Attributes

Period stepSize_

Detailed Description

CDO base engine taking (possibly) small time steps.

Author

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