Base class for random default models. More...
#include <ql/experimental/credit/randomdefaultmodel.hpp>
Public Member Functions | |
RandomDefaultModel (boost::shared_ptr< Pool > pool, const std::vector< DefaultProbKey > &defaultKeys) | |
virtual void | nextSequence (Real tmax=QL_MAX_REAL)=0 |
virtual void | reset ()=0 |
Protected Attributes | |
boost::shared_ptr< Pool > | pool_ |
std::vector< DefaultProbKey > | defaultKeys_ |
Base class for random default models.
Provides sequences of random default times for each name in the pool.
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pure virtual |
Generate a sequence of random default times, one for each name in the pool, and store the result in the Pool using method setTime(name). tmax denotes the maximum relevant time- default times > tmax are not computed but set to tmax + 1 instead to save coputation time.
Implemented in GaussianRandomDefaultModel.