IntegralCDOEngine Class Reference

CDO base engine taking (possibly) small time steps. More...

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

Inheritance diagram for IntegralCDOEngine:

List of all members.

Public Member Functions

void calculate () const
 IntegralCDOEngine (Period stepSize=3 *Months)

Protected Attributes

Period stepSize_


Detailed Description

CDO base engine taking (possibly) small time steps.