QuantLib_RecursiveCdoEngine

Langue: en

Version: 378050 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

NAME

QuantLib::RecursiveCdoEngine -

SYNOPSIS


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

Inherits CDOEngine.

Public Member Functions


RecursiveCdoEngine (const Handle< Quote > &correl, Size nbuckets=1, Size quadOrder=20)
Single correlation construction.
RecursiveCdoEngine (const Handle< SimpleQuote > &correl, const Matrix &correlMtrx, Size nbuckets=1, Size quadOrder=20)
Correlation name to name single factor construction.
void update ()

Real expectedTrancheLoss (const Date &date) const

Protected Member Functions


void initialize () const

Protected Attributes


const Handle< Quote > correlQuote_

RelinkableHandle< copulaT > copula_

Detailed Description

template<class CDOEngine, class copulaT> class QuantLib::RecursiveCdoEngine< CDOEngine, copulaT >

Recursive STCDO pricing for a heterogeneous pool of names. The pool names are heterogeneous in their default probabilities, notionals and recovery rates. Correlations are pairwise. The recursive pricing algorithm used here is described in Andersen, Sidenius and Basu; 'All your hedges in one basket', Risk, November 2003, pages 67-72

Notice that using copulas other than Gaussian it is only an approximation (see remark on p.68).

Author

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