- QuantLib
- MonteCarloCDOEngine2
CDO engine, Monte Carlo for the sample payoff. More...
#include <ql/experimental/credit/syntheticcdoengines.hpp>
Public Member Functions | |
MonteCarloCDOEngine2 (boost::shared_ptr< RandomDefaultModel > rdm, Size samples) | |
void | calculate () const |
CDO engine, Monte Carlo for the sample payoff.