RecursiveCdoEngine< CDOEngine, copulaT > Class Template Reference

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

Inherits CDOEngine.

Public Member Functions

 RecursiveCdoEngine (const Handle< Quote > &correl, Size nbuckets=1, Size quadOrder=20)
 Single correlation construction.
 
 RecursiveCdoEngine (const Handle< Quote > &correl, const Matrix &correlMtrx, Size nbuckets=1, Size quadOrder=20)
 Correlation name to name single factor construction.
 
void update ()
 
Real expectedTrancheLoss (const Date &date) const
 

Protected Member Functions

void initialize () const
 

Protected Attributes

const Handle< QuotecorrelQuote_
 
RelinkableHandle< copulaT > copula_
 

Detailed Description

template<class CDOEngine, class copulaT>
class QuantLib::RecursiveCdoEngine< CDOEngine, copulaT >

Recursive STCDO pricing for a heterogeneous pool of names. The pool names are heterogeneous in their default probabilities, notionals and recovery rates. Correlations are pairwise. The recursive pricing algorithm used here is described in Andersen, Sidenius and Basu; "All your hedges in one basket", Risk, November 2003, pages 67-72

Notice that using copulas other than Gaussian it is only an approximation (see remark on p.68).