QuantLib_SyntheticCDO_engine (3) - Linux Manuals

QuantLib_SyntheticCDO_engine: CDO base engine.

NAME

QuantLib::SyntheticCDO::engine - CDO base engine.

SYNOPSIS

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

Inherits GenericEngine< SyntheticCDO::arguments, SyntheticCDO::results >.

Inherited by IntegralCDOEngine, MidPointCDOEngine, and MonteCarloCDOEngine2.

Protected Member Functions

virtual Real expectedTrancheLoss (const Date &) const =0

virtual void initialize () const

Protected Attributes

boost::shared_ptr< Basket > remainingBasket_

Detailed Description

CDO base engine.

Author

Generated automatically by Doxygen for QuantLib from the source code.