- QuantLib
- SyntheticCDO
- engine
#include <ql/experimental/credit/syntheticcdoengines.hpp>
Protected Member Functions | |
virtual Real | expectedTrancheLoss (const Date &) const =0 |
virtual void | initialize () const |
Protected Attributes | |
boost::shared_ptr< Basket > | remainingBasket_ |
CDO base engine.