GLHPIntegralCDOEngine (3) - Linux Manuals
GLHPIntegralCDOEngine: Pricing engines for the Synthetic CDO instrument.
NAME
ql/experimental/credit/syntheticcdoengines.hpp - Pricing engines for the Synthetic CDO instrument.
SYNOPSIS
#include <ql/experimental/credit/syntheticcdo.hpp>
#include <ql/experimental/credit/randomdefaultmodel.hpp>
#include <ql/math/distributions/normaldistribution.hpp>
#include <ql/math/distributions/bivariatenormaldistribution.hpp>
Classes
class engine
CDO base engine.
class MidPointCDOEngine
CDO base engine taking schedule steps.
class IntegralCDOEngine
CDO base engine taking (possibly) small time steps.
class MonteCarloCDOEngine1
CDO engine, Monte Carlo for the exptected tranche loss distribution.
class MonteCarloCDOEngine2
CDO engine, Monte Carlo for the sample payoff.
class HomogeneousPoolCDOEngine< CDOEngine >
CDO engine, loss distribution convolution for finite homogeneous pool.
class InhomogeneousPoolCDOEngine< CDOEngine >
CDO engine, loss disctribution bucketing for finite inhomogeneous pool.
class GaussianLHPCDOEngine< CDOEngine >
Typedefs
typedef HomogeneousPoolCDOEngine< MidPointCDOEngine > HPMidPointCDOEngine
typedef HomogeneousPoolCDOEngine< IntegralCDOEngine > HPIntegralCDOEngine
typedef InhomogeneousPoolCDOEngine< MidPointCDOEngine > IHPMidPointCDOEngine
typedef InhomogeneousPoolCDOEngine< IntegralCDOEngine > IHPIntegralCDOEngine
typedef GaussianLHPCDOEngine< MidPointCDOEngine > GLHPMidPointCDOEngine
typedef GaussianLHPCDOEngine< IntegralCDOEngine > GLHPIntegralCDOEngine
Detailed Description
Pricing engines for the Synthetic CDO instrument.
Possible enhancements
- Add further engines for analytical expected tranche loss cases - large homogeneous pool with Normal Inverse Gaussian, Gamma copula
Author
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