Random default-time scenarios for a pool of credit names. More...
#include <ql/math/randomnumbers/rngtraits.hpp>
#include <ql/experimental/credit/pool.hpp>
#include <ql/experimental/credit/onefactorcopula.hpp>
#include <ql/experimental/credit/defaultprobabilitykey.hpp>
Classes | |
class | RandomDefaultModel |
Base class for random default models. More... | |
class | GaussianRandomDefaultModel |
Random default-time scenarios for a pool of credit names.