RandomDefaultModel Class Referenceabstract

Base class for random default models. More...

#include <ql/experimental/credit/randomdefaultmodel.hpp>

Inheritance diagram for RandomDefaultModel:

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< DefaultProbKeydefaultKeys_
 

Detailed Description

Base class for random default models.

Provides sequences of random default times for each name in the pool.

Member Function Documentation

virtual void nextSequence ( Real  tmax = QL_MAX_REAL)
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.