CDO engine, Monte Carlo for the exptected tranche loss distribution. More...
#include <ql/experimental/credit/syntheticcdoengines.hpp>
Public Member Functions | |
MonteCarloCDOEngine1 (boost::shared_ptr< RandomDefaultModel > rdm, Size samples) | |
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void | calculate () const |
Additional Inherited Members | |
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boost::shared_ptr< Basket > | remainingBasket_ |
CDO engine, Monte Carlo for the exptected tranche loss distribution.