MonteCarloCDOEngine1 Class Reference

CDO engine, Monte Carlo for the exptected tranche loss distribution. More...

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

Inheritance diagram for MonteCarloCDOEngine1:

List of all members.

Public Member Functions

 MonteCarloCDOEngine1 (boost::shared_ptr< RandomDefaultModel > rdm, Size samples)


Detailed Description

CDO engine, Monte Carlo for the exptected tranche loss distribution.