QuantLib_InhomogeneousPoolCDOEngine (3) - Linux Manuals

QuantLib_InhomogeneousPoolCDOEngine: CDO engine, loss disctribution bucketing for finite inhomogeneous pool.

NAME

QuantLib::InhomogeneousPoolCDOEngine - CDO engine, loss disctribution bucketing for finite inhomogeneous pool.

SYNOPSIS

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

Inherits CDOEngine.

Public Member Functions

InhomogeneousPoolCDOEngine (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::InhomogeneousPoolCDOEngine< CDOEngine >

CDO engine, loss disctribution bucketing for finite inhomogeneous pool.

Author

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