QuantLib_GaussianRandomDefaultModel man page

GaussianRandomDefaultModel —


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

Inherits 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 ()

Additional Inherited Members

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.


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Referenced By

GaussianRandomDefaultModel(3) is an alias of QuantLib_GaussianRandomDefaultModel(3).

QuantLib Version 1.8.1 Fri Sep 23 2016