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QuantLib_GaussianRandomDefaultModel
Langue: en
Version: 376303 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
NAME
QuantLib::GaussianRandomDefaultModel -SYNOPSIS
#include <ql/experimental/credit/randomdefaultmodel.hpp>
Inherits QuantLib::RandomDefaultModel.
Public Member Functions
GaussianRandomDefaultModel (boost::shared_ptr< Pool > pool, const std::vector< DefaultProbKey > &defaultKeys, Handle< OneFactorCopula > copula, Real accuracy, long seed)
void nextSequence (Real tmax=QL_MAX_REAL)
void reset ()
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.
Author
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