GaussianRandomDefaultModel Class Reference

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

Inheritance diagram for GaussianRandomDefaultModel:

Public Member Functions

 GaussianRandomDefaultModel (boost::shared_ptr< Pool > pool, const std::vector< DefaultProbKey > &defaultKeys, Handle< OneFactorCopula > copula, Real accuracy, long seed)
 
void nextSequence (Real tmax=QL_MAX_REAL)
 
void reset ()
 
- Public Member Functions inherited from RandomDefaultModel
 RandomDefaultModel (boost::shared_ptr< Pool > pool, const std::vector< DefaultProbKey > &defaultKeys)
 

Additional Inherited Members

- Protected Attributes inherited from RandomDefaultModel
boost::shared_ptr< Pool > pool_
 
std::vector< DefaultProbKeydefaultKeys_
 

Detailed Description

Random default times using a one-factor Gaussian copula.

Member Function Documentation

void nextSequence ( Real  tmax = QL_MAX_REAL)
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.

Implements RandomDefaultModel.