QuantLib_RandomDefaultModel man page

RandomDefaultModel — Base class for random default models.  


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

Inherits Observer, and Observable.

Inherited by GaussianRandomDefaultModel.

Public Member Functions

RandomDefaultModel (boost::shared_ptr< Pool > pool, const std::vector< DefaultProbKey > &defaultKeys)
void update ()
virtual void nextSequence (Real tmax=QL_MAX_REAL)=0
virtual void reset ()=0

Protected Attributes

boost::shared_ptr< Pool > pool_
std::vector< DefaultProbKey > defaultKeys_

Additional Inherited Members

Detailed Description

Base class for random default models.

Provides sequences of random default times for each name in the pool.

Member Function Documentation

void update () [virtual]

This method must be implemented in derived classes. An instance of Observer does not call this method directly: instead, it will be called by the observables the instance registered with when they need to notify any changes.

Implements Observer.

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.


Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

The man pages defaultKeys_(3), pool_(3) and RandomDefaultModel(3) are aliases of QuantLib_RandomDefaultModel(3).

Mon Apr 30 2018 Version 1.12.1 QuantLib