GaussianRandomDefaultModel Class Reference
#include <ql/experimental/credit/randomdefaultmodel.hpp>
Inheritance diagram for GaussianRandomDefaultModel:

Public Member Functions | |
GaussianRandomDefaultModel (boost::shared_ptr< Pool > pool, Handle< OneFactorCopula > copula, Real accuracy, long seed) | |
void | nextSequence (Real tmax=QL_MAX_REAL) |
Detailed Description
Random default times using a one-factor Gaussian copula.Member Function Documentation
void nextSequence | ( | Real | tmax = QL_MAX_REAL |
) | [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.
Implements RandomDefaultModel.