QuantLib: RandomDefaultModel Class Reference

Base class for random default models. More...

#include <randomdefaultmodel.hpp>

Inheritance diagram for RandomDefaultModel:

Collaboration diagram for RandomDefaultModel:

Public Member Functions
	RandomDefaultModel (const ext::shared_ptr< Pool > &pool, const std::vector< DefaultProbKey > &defaultKeys)

	~RandomDefaultModel () override=default

void	update () override

virtual void	nextSequence (Real tmax=QL_MAX_REAL)=0

virtual void	reset ()=0

Public Member Functions inherited from Observer
	Observer ()=default

	Observer (const Observer &)

Observer &	operator= (const Observer &)

virtual	~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	update ()=0

virtual void	deepUpdate ()

Public Member Functions inherited from Observable
	Observable ()=default

	Observable (const Observable &)

Observable &	operator= (const Observable &)

	Observable (Observable &&)=delete

Observable &	operator= (Observable &&)=delete

virtual	~Observable ()=default

void	notifyObservers ()

Protected Attributes
ext::shared_ptr< Pool >	pool_

std::vector< DefaultProbKey >	defaultKeys_

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator

Detailed Description

Base class for random default models.

Provides sequences of random default times for each name in the pool.

Definition at line 37 of file randomdefaultmodel.hpp.

Constructor & Destructor Documentation

◆ RandomDefaultModel()

RandomDefaultModel	(	const ext::shared_ptr< Pool > &	pool,
		const std::vector< DefaultProbKey > &	defaultKeys
	)

Definition at line 39 of file randomdefaultmodel.hpp.

◆ ~RandomDefaultModel()

~RandomDefaultModel ( )

overridedefault

Member Function Documentation

◆ update()

void update ( )

overridevirtual

This method must be implemented in derived classes. An instance of Observer does not call this method directly: instead, it will be called by the observables the instance registered with when they need to notify any changes.

Implements Observer.

Definition at line 46 of file randomdefaultmodel.hpp.

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◆ nextSequence()

virtual void nextSequence ( Real tmax = QL_MAX_REAL )

pure 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.

Implemented in GaussianRandomDefaultModel.

◆ reset()

virtual void reset ( )

pure virtual

Implemented in GaussianRandomDefaultModel.

Member Data Documentation

◆ pool_

ext::shared_ptr<Pool> pool_

protected

Definition at line 56 of file randomdefaultmodel.hpp.

◆ defaultKeys_

std::vector<DefaultProbKey> defaultKeys_