#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 &) | |
| Observer & | operator= (const Observer &) |
| std::pair< std::set< boost::shared_ptr< Observable > >::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 &) | |
| Observable & | operator= (const Observable &) |
| void | notifyObservers () |
Additional Inherited Members | |
Protected Attributes inherited from RandomDefaultModel | |
| boost::shared_ptr< Pool > | pool_ |
| std::vector< DefaultProbKey > | defaultKeys_ |
Random default times using a one-factor Gaussian copula.
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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.