QuantLib_IntegralCDOEngine (3) Linux Manual Page
QuantLib::IntegralCDOEngine – CDO base engine taking (possibly) small time steps.
Synopsis
#include <ql/experimental/credit/syntheticcdoengines.hpp>
Inherits QuantLib::SyntheticCDO::engine.
Public Member Functions
void calculate () const
IntegralCDOEngine (Period stepSize=3 *Months)
Protected Attributes
Period stepSize_
Detailed Description
CDO base engine taking (possibly) small time steps.
Author
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