MonteCarloCDOEngine1 (3) Linux Manual Page
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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