A free/open-source library for quantitative finance
MonteCarloCDOEngine2 Class Reference
CDO engine, Monte Carlo for the sample payoff. More...
#include <ql/experimental/credit/syntheticcdoengines.hpp>
Inheritance diagram for MonteCarloCDOEngine2:
Public Member Functions | |
| MonteCarloCDOEngine2 (boost::shared_ptr< RandomDefaultModel > rdm, Size samples) | |
| void | calculate () const |
 Public Member Functions inherited from GenericEngine< SyntheticCDO::arguments, SyntheticCDO::results > | |
| PricingEngine::arguments * | getArguments () const |
| const PricingEngine::results * | getResults () const |
| void | reset () |
| void | update () |
| Public Member Functions inherited from Observable | |
| Observable (const Observable &) | |
| Observable & | operator= (const Observable &) |
| void | notifyObservers () |
| 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 > &) |
| Size | unregisterWith (const boost::shared_ptr< Observable > &) |
| void | unregisterWithAll () |
Additional Inherited Members | |
| Protected Member Functions inherited from SyntheticCDO::engine | |
| virtual void | initialize () const |
| 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_ |
Detailed Description
CDO engine, Monte Carlo for the sample payoff.