syntheticcdoengines.hpp File Reference

Pricing engines for the Synthetic CDO instrument. More...

#include <ql/experimental/credit/syntheticcdo.hpp>
#include <ql/experimental/credit/randomdefaultmodel.hpp>
#include <ql/math/distributions/normaldistribution.hpp>
#include <ql/math/distributions/bivariatenormaldistribution.hpp>

Include dependency graph for syntheticcdoengines.hpp:

Classes
class	SyntheticCDO::engine
	CDO base engine. More...
class	MidPointCDOEngine
	CDO base engine taking schedule steps. More...
class	IntegralCDOEngine
	CDO base engine taking (possibly) small time steps. More...
class	MonteCarloCDOEngine1
	CDO engine, Monte Carlo for the exptected tranche loss distribution. More...
class	MonteCarloCDOEngine2
	CDO engine, Monte Carlo for the sample payoff. More...
class	HomogeneousPoolCDOEngine< CDOEngine >
	CDO engine, loss distribution convolution for finite homogeneous pool. More...
class	InhomogeneousPoolCDOEngine< CDOEngine >
	CDO engine, loss disctribution bucketing for finite inhomogeneous pool. More...
class	GaussianLHPCDOEngine< CDOEngine >

Namespaces
	QuantLib

Typedefs
typedef HomogeneousPoolCDOEngine < MidPointCDOEngine >	HPMidPointCDOEngine
typedef HomogeneousPoolCDOEngine < IntegralCDOEngine >	HPIntegralCDOEngine
typedef InhomogeneousPoolCDOEngine < MidPointCDOEngine >	IHPMidPointCDOEngine
typedef InhomogeneousPoolCDOEngine < IntegralCDOEngine >	IHPIntegralCDOEngine
typedef GaussianLHPCDOEngine < MidPointCDOEngine >	GLHPMidPointCDOEngine
typedef GaussianLHPCDOEngine < IntegralCDOEngine >	GLHPIntegralCDOEngine

Detailed Description

Pricing engines for the Synthetic CDO instrument.

Possible enhancements:

Add further engines for analytical expected tranche loss cases - large homogeneous pool with Normal Inverse Gaussian, Gamma copula