QuantLib_RandomLossLM man page

RandomLossLM< copulaPolicy, USNG >


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

Inherits RandomLM< RandomLossLM, copulaPolicy, USNG >.

Public Member Functions

RandomLossLM (const boost::shared_ptr< SpotRecoveryLatentModel< copulaPolicy > > &copula, Size nSims=0, Real accuracy=1.e-6, BigNatural seed=2863311530UL)

Protected Member Functions

void nextSample (const std::vector< Real > &values) const
void initDates () const
Real getEventRecovery (const defaultSimEvent &evt) const
Real latentVarValue (const std::vector< Real > &factorsSample, Size iVar) const
Size basketSize () const
Real conditionalRecovery (Real latentVarSample, Size iName, const Date &d) const


class RandomLM< ::QuantLib::RandomLossLM, copulaPolicy, USNG >

Additional Inherited Members

Detailed Description

template<class copulaPolicy, class USNG = SobolRsg>

class QuantLib::RandomLossLM< copulaPolicy, USNG >" Random spot recovery rate loss model simulation for an arbitrary copula.


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Referenced By

The man page RandomLossLM(3) is an alias of QuantLib_RandomLossLM(3).

Mon Apr 30 2018 Version 1.12.1 QuantLib