randomdefaultmodel.hpp File Reference

Random default-time scenarios for a pool of credit names. More...

#include <ql/math/randomnumbers/rngtraits.hpp>
#include <ql/experimental/credit/pool.hpp>
#include <ql/experimental/credit/onefactorcopula.hpp>
#include <ql/experimental/credit/defaultprobabilitykey.hpp>

Go to the source code of this file.

Classes
class	RandomDefaultModel
	Base class for random default models. More...
class	GaussianRandomDefaultModel

Namespaces
namespace	QuantLib

Detailed Description

Random default-time scenarios for a pool of credit names.

Definition in file randomdefaultmodel.hpp.