MonteCarloCDOEngine1 (3) - Linux Manuals

MonteCarloCDOEngine1: CDO engine, Monte Carlo for the exptected tranche loss distribution.

NAME

QuantLib::MonteCarloCDOEngine1 - CDO engine, Monte Carlo for the exptected tranche loss distribution.

SYNOPSIS

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

Inherits QuantLib::MidPointCDOEngine.

Public Member Functions

MonteCarloCDOEngine1 (boost::shared_ptr< RandomDefaultModel > rdm, Size samples)

Detailed Description

CDO engine, Monte Carlo for the exptected tranche loss distribution.

Author

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