QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.8
Public Member Functions | List of all members
GaussianRandomDefaultModel Class Reference

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

+ Inheritance diagram for GaussianRandomDefaultModel:

Public Member Functions

 GaussianRandomDefaultModel (boost::shared_ptr< Pool > pool, const std::vector< DefaultProbKey > &defaultKeys, Handle< OneFactorCopula > copula, Real accuracy, long seed)
 
void nextSequence (Real tmax=QL_MAX_REAL)
 
void reset ()
 
- Public Member Functions inherited from RandomDefaultModel
 RandomDefaultModel (boost::shared_ptr< Pool > pool, const std::vector< DefaultProbKey > &defaultKeys)
 
void update ()
 
- Public Member Functions inherited from Observer
 Observer (const Observer &)
 
Observeroperator= (const Observer &)
 
std::pair< iterator, bool > registerWith (const boost::shared_ptr< Observable > &)
 
void registerWithObservables (const boost::shared_ptr< Observer > &)
 
Size unregisterWith (const boost::shared_ptr< Observable > &)
 
void unregisterWithAll ()
 
- Public Member Functions inherited from Observable
 Observable (const Observable &)
 
Observableoperator= (const Observable &)
 
void notifyObservers ()
 

Additional Inherited Members

- Public Types inherited from Observer
typedef std::set< boost::shared_ptr< Observable > > set_type
 
typedef set_type::iterator iterator
 
- Protected Attributes inherited from RandomDefaultModel
boost::shared_ptr< Pool > pool_
 
std::vector< DefaultProbKeydefaultKeys_
 

Detailed Description

Random default times using a one-factor Gaussian copula.

Member Function Documentation

void nextSequence ( Real  tmax = QL_MAX_REAL)
virtual

Generate a sequence of random default times, one for each name in the pool, and store the result in the Pool using method setTime(name). tmax denotes the maximum relevant time- default times > tmax are not computed but set to tmax + 1 instead to save coputation time.

Implements RandomDefaultModel.