RandomDefaultModel (3) Linux Manual Page
QuantLib::RandomDefaultModel – Base class for random default models.
Synopsis
#include <ql/experimental/credit/randomdefaultmodel.hpp>Inherited by GaussianRandomDefaultModel.
Public Member Functions
RandomDefaultModel (boost::shared_ptr< Pool > pool)virtual void nextSequence (Real tmax=QL_MAX_REAL)=0
Protected Attributes
boost::shared_ptr< Pool > pool_Detailed Description
Base class for random default models. Provides sequences of random default times for each name in the pool.
Member Function Documentation
virtual void nextSequence (Real tmax = QL_MAX_REAL) [pure 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.Implemented in GaussianRandomDefaultModel.