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QuantLib_GaussianRecursiveCdoEngine
Langue: en
Version: 377255 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
Sommaire
NAME
QuantLib::GaussianRecursiveCdoEngine -Specialization for Gaussian copula, the integration still remains.
SYNOPSIS
#include <ql/experimental/credit/recursivecdoengine.hpp>
Inherits RecursiveCdoEngine< CDOEngine, OneFactorGaussianCopula >.
Public Member Functions
GaussianRecursiveCdoEngine (const Handle< Quote > &correlQuote, Size nbuckets=1, Size quadOrder=12, Real maxval=5., Size steps=50)
quote constructor.
Detailed Description
template<class CDOEngine> class QuantLib::GaussianRecursiveCdoEngine< CDOEngine >
Specialization for Gaussian copula, the integration still remains.Author
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