- QuantLib
- MonteCarloCDOEngine1
CDO engine, Monte Carlo for the exptected tranche loss distribution. More...
#include <ql/experimental/credit/syntheticcdoengines.hpp>
Public Member Functions | |
MonteCarloCDOEngine1 (boost::shared_ptr< RandomDefaultModel > rdm, Size samples) |
CDO engine, Monte Carlo for the exptected tranche loss distribution.