QuantLib: GaussianRandomDefaultModel Class Reference

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

Inheritance diagram for GaussianRandomDefaultModel:

Public Member Functions
	GaussianRandomDefaultModel (const ext::shared_ptr< Pool > &pool, const std::vector< DefaultProbKey > &defaultKeys, const Handle< OneFactorCopula > &copula, Real accuracy, long seed)
void	nextSequence (Real tmax=QL_MAX_REAL) override
void	reset () override
Public Member Functions inherited from RandomDefaultModel
	RandomDefaultModel (const ext::shared_ptr< Pool > &pool, const std::vector< DefaultProbKey > &defaultKeys)
void	update () override
Public Member Functions inherited from Observer
	Observer (const Observer &)
Observer &	operator= (const Observer &)
std::pair< iterator, bool >	registerWith (const ext::shared_ptr< Observable > &)
void	registerWithObservables (const ext::shared_ptr< Observer > &)
Size	unregisterWith (const ext::shared_ptr< Observable > &)
void	unregisterWithAll ()
virtual void	deepUpdate ()
Public Member Functions inherited from Observable
	Observable (const Observable &)
Observable &	operator= (const Observable &)
	Observable (Observable &&)=delete
Observable &	operator= (Observable &&)=delete
void	notifyObservers ()

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator
Protected Attributes inherited from RandomDefaultModel
ext::shared_ptr< Pool >	pool_
std::vector< DefaultProbKey >	defaultKeys_

Detailed Description

Random default times using a one-factor Gaussian copula.

Member Function Documentation

◆ nextSequence()

void nextSequence ( Real tmax = QL_MAX_REAL )

overridevirtual

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.

◆ reset()

void reset ( )