QuantLib_HomogeneousPoolCDOEngine

Langue: en

Autres versions - même langue

Version: 166590 (fedora - 05/07/09)

Section: 3 (Bibliothèques de fonctions)

Sommaire

NAME

QuantLib::HomogeneousPoolCDOEngine - CDO engine, loss distribution convolution for finite homogeneous pool.

SYNOPSIS


#include <ql/experimental/credit/syntheticcdoengines.hpp>

Inherits CDOEngine.

Public Member Functions


HomogeneousPoolCDOEngine (const Handle< OneFactorCopula > copula, Size nBuckets, Period stepSize=1 *Days)

Protected Attributes


const Handle< OneFactorCopula > copula_

Size nBuckets_

Detailed Description

template<class CDOEngine> class QuantLib::HomogeneousPoolCDOEngine< CDOEngine >

CDO engine, loss distribution convolution for finite homogeneous pool.

Author

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