QuantLib_RandomLossLM man page

RandomLossLM< copulaPolicy, USNG >

Synopsis

#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=2863311530)

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

Friends

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.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

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

Fri Sep 1 2017 Version 1.10.1 QuantLib