GaussianRecursiveCdoEngine< CDOEngine > Class Template Reference

Specialization for Gaussian copula, the integration still remains. More...

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

Inheritance diagram for GaussianRecursiveCdoEngine< CDOEngine >:

List of all members.

Public Member Functions

 GaussianRecursiveCdoEngine (const Handle< Quote > &correlQuote, Size nbuckets=1, Size quadOrder=12, Real maxval=5., Size steps=50)
 quote constructor.

Detailed Description

template<class CDOEngine>
class QuantLib::GaussianRecursiveCdoEngine< CDOEngine >

Specialization for Gaussian copula, the integration still remains.