QuantLib_HomogeneousPoolCDOEngine (3) - Linux Manuals

QuantLib_HomogeneousPoolCDOEngine: CDO engine, loss distribution convolution for finite homogeneous pool.

NAME

QuantLib::HomogeneousPoolCDOEngine - CDO engine, loss distribution convolution for finite homogeneous pool.

SYNOPSIS

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

Inherits CDOEngine.

Public Member Functions

HomogeneousPoolCDOEngine (const Handle< OneFactorCopula > copula, Size nBuckets, Period stepSize=1 *Days)

Protected Attributes

const Handle< OneFactorCopula > copula_

Size nBuckets_

Detailed Description

template<class CDOEngine> class QuantLib::HomogeneousPoolCDOEngine< CDOEngine >

CDO engine, loss distribution convolution for finite homogeneous pool.

Author

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