A free/open-source library for quantitative finance
IntegralCDOEngine Class Referenceabstract
CDO base engine taking (possibly) small time steps. More...
#include <ql/experimental/credit/syntheticcdoengines.hpp>
Inheritance diagram for IntegralCDOEngine:
Public Member Functions | |
| void | calculate () const |
| IntegralCDOEngine (Period stepSize=3 *Months) | |
Protected Attributes | |
| Period | stepSize_ |
 Protected Attributes inherited from SyntheticCDO::engine | |
| boost::shared_ptr< Basket > | remainingBasket_ |
| Protected Attributes inherited from GenericEngine< SyntheticCDO::arguments, SyntheticCDO::results > | |
| SyntheticCDO::arguments | arguments_ |
| SyntheticCDO::results | results_ |
Additional Inherited Members | |
| Protected Member Functions inherited from SyntheticCDO::engine | |
| virtual void | initialize () const |
Detailed Description
CDO base engine taking (possibly) small time steps.