Specialization for Gaussian copula, the integration still remains. More...
#include <ql/experimental/credit/recursivecdoengine.hpp>
Public Member Functions | |
GaussianRecursiveCdoEngine (const Handle< Quote > &correlQuote, Size nbuckets=1, Size quadOrder=12, Real maxval=5., Size steps=50) | |
quote constructor. | |
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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 |
Additional Inherited Members | |
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void | initialize () const |
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const Handle< Quote > | correlQuote_ |
RelinkableHandle < OneFactorGaussianCopula > | copula_ |
Specialization for Gaussian copula, the integration still remains.