ql/experimental/credit/randomdefaultmodel.hpp File Reference

Random default-time scenarios for a pool of credit names. More...

#include <ql/math/randomnumbers/rngtraits.hpp>
#include <ql/experimental/credit/pool.hpp>
#include <ql/experimental/credit/onefactorcopula.hpp>

Include dependency graph for randomdefaultmodel.hpp:


Classes

class  RandomDefaultModel
 Base class for random default models. More...
class  GaussianRandomDefaultModel

Detailed Description

Random default-time scenarios for a pool of credit names.