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)

Additional Inherited Members
Protected Attributes inherited from RandomDefaultModel
boost::shared_ptr< Pool >	pool_
std::vector< DefaultProbKey >	defaultKeys_

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.