randomdefaultmodel (3) - Linux Manuals

randomdefaultmodel: Random default-time scenarios for a pool of credit names.

NAME

ql/experimental/credit/randomdefaultmodel.hpp - Random default-time scenarios for a pool of credit names.

SYNOPSIS

#include <ql/math/randomnumbers/rngtraits.hpp>
#include <ql/experimental/credit/pool.hpp>
#include <ql/experimental/credit/onefactorcopula.hpp>

Classes

class RandomDefaultModel
Base class for random default models.
class GaussianRandomDefaultModel

Detailed Description

Random default-time scenarios for a pool of credit names.

Author

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