RandomDefaultModel (3) - Linux Manuals

RandomDefaultModel: Base class for random default models.

NAME

QuantLib::RandomDefaultModel - Base class for random default models.

SYNOPSIS

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

Inherited by GaussianRandomDefaultModel.

Public Member Functions

RandomDefaultModel (boost::shared_ptr< Pool > pool)

virtual void nextSequence (Real tmax=QL_MAX_REAL)=0

Protected Attributes

boost::shared_ptr< Pool > pool_

Detailed Description

Base class for random default models.

Provides sequences of random default times for each name in the pool.

Member Function Documentation

virtual void nextSequence (Real tmax = QL_MAX_REAL) [pure virtual]

Generate a sequence of random default times, one for each name in the pool, and store the result in the Pool using method setTime(name). tmax denotes the maximum relevant time- default times > tmax are not computed but set to tmax + 1 instead to save coputation time.

Implemented in GaussianRandomDefaultModel.

Author

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