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QuantLib_RandomDefaultModel
Langue: en
Version: 383024 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
NAME
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, const std::vector< DefaultProbKey > &defaultKeys)
virtual void nextSequence (Real tmax=QL_MAX_REAL)=0
virtual void reset ()=0
Protected Attributes
boost::shared_ptr< Pool > pool_
std::vector< DefaultProbKey > defaultKeys_
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.
Author
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