GaussianRecursiveCdoEngine< CDOEngine > Class Template Reference

Specialization for Gaussian copula, the integration still remains. More...

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

Inheritance diagram for GaussianRecursiveCdoEngine< CDOEngine >:

Public Member Functions
	GaussianRecursiveCdoEngine (const Handle< Quote > &correlQuote, Size nbuckets=1, Size quadOrder=12, Real maxval=5., Size steps=50)
	quote constructor.
Public Member Functions inherited from RecursiveCdoEngine< CDOEngine, OneFactorGaussianCopula >
	RecursiveCdoEngine (const Handle< Quote > &correl, Size nbuckets=1, Size quadOrder=20)
	Single correlation construction.
	RecursiveCdoEngine (const Handle< Quote > &correl, const Matrix &correlMtrx, Size nbuckets=1, Size quadOrder=20)
	Correlation name to name single factor construction.
void	update ()
Real	expectedTrancheLoss (const Date &date) const

Additional Inherited Members
Protected Member Functions inherited from RecursiveCdoEngine< CDOEngine, OneFactorGaussianCopula >
void	initialize () const
Protected Attributes inherited from RecursiveCdoEngine< CDOEngine, OneFactorGaussianCopula >
const Handle< Quote >	correlQuote_
RelinkableHandle < OneFactorGaussianCopula >	copula_

Detailed Description

template<class CDOEngine>
class QuantLib::GaussianRecursiveCdoEngine< CDOEngine >

Specialization for Gaussian copula, the integration still remains.