QuantLib_GaussianRandomDefaultModel (3) - Linux Manuals


QuantLib::GaussianRandomDefaultModel -


#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.


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