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QuantLib_MonteCarloCDOEngine1
Langue: en
Version: 382794 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
NAME
QuantLib::MonteCarloCDOEngine1 -CDO engine, Monte Carlo for the exptected tranche loss distribution.
SYNOPSIS
#include <ql/experimental/credit/syntheticcdoengines.hpp>
Inherits QuantLib::MidPointCDOEngine.
Public Member Functions
MonteCarloCDOEngine1 (boost::shared_ptr< RandomDefaultModel > rdm, Size samples)
Detailed Description
CDO engine, Monte Carlo for the exptected tranche loss distribution.
Author
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