GaussianRandomDefaultModel (3) Linux Manual Page
QuantLib::GaussianRandomDefaultModel –
Synopsis
#include <ql/experimental/credit/randomdefaultmodel.hpp>Inherits QuantLib::RandomDefaultModel.
Public Member Functions
GaussianRandomDefaultModel (boost::shared_ptr< Pool > pool, Handle< OneFactorCopula > copula, Real accuracy, long seed)void nextSequence (Real tmax=QL_MAX_REAL)
Detailed Description
Random default times using a one-factor Gaussian copula.Member Function Documentation
void nextSequence (Real tmax = QL_MAX_REAL) [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.Implements RandomDefaultModel.