QuantLib_RandomDefaultModel man page

RandomDefaultModel — Base class for random default models.

Synopsis

#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.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

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

Fri Sep 23 2016 Version 1.8.1 QuantLib