QuantLib_SyntheticCDO_engine (3) Linux Manual Page

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

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