MonteCarloCDOEngine2 Class Reference

CDO engine, Monte Carlo for the sample payoff. More...

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

Inheritance diagram for MonteCarloCDOEngine2:

Public Member Functions

 MonteCarloCDOEngine2 (boost::shared_ptr< RandomDefaultModel > rdm, Size samples)
 
void calculate () const
 

Additional Inherited Members

- Protected Member Functions inherited from SyntheticCDO::engine
virtual void initialize () const
 
- Protected Attributes inherited from SyntheticCDO::engine
boost::shared_ptr< BasketremainingBasket_
 

Detailed Description

CDO engine, Monte Carlo for the sample payoff.