CDO base engine taking (possibly) small time steps. More...
#include <ql/experimental/credit/syntheticcdoengines.hpp>
Public Member Functions | |
void | calculate () const |
IntegralCDOEngine (Period stepSize=3 *Months) | |
Protected Attributes | |
Period | stepSize_ |
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boost::shared_ptr< Basket > | remainingBasket_ |
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SyntheticCDO::arguments | arguments_ |
SyntheticCDO::results | results_ |
Additional Inherited Members | |
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virtual void | initialize () const |
CDO base engine taking (possibly) small time steps.