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QuantLib_GaussianRandomDefaultModel

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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