GaussianRecursiveCdoEngine< CDOEngine > Class Template Reference

Specialization for Gaussian copula, the integration still remains. More...

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

Inheritance diagram for GaussianRecursiveCdoEngine< CDOEngine >:

Public Member Functions

 GaussianRecursiveCdoEngine (const Handle< Quote > &correlQuote, Size nbuckets=1, Size quadOrder=12, Real maxval=5., Size steps=50)
 quote constructor.
 
- Public Member Functions inherited from RecursiveCdoEngine< CDOEngine, OneFactorGaussianCopula >
 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

- Protected Member Functions inherited from RecursiveCdoEngine< CDOEngine, OneFactorGaussianCopula >
void initialize () const
 
- Protected Attributes inherited from RecursiveCdoEngine< CDOEngine, OneFactorGaussianCopula >
const Handle< QuotecorrelQuote_
 
RelinkableHandle
< OneFactorGaussianCopula
copula_
 

Detailed Description

template<class CDOEngine>
class QuantLib::GaussianRecursiveCdoEngine< CDOEngine >

Specialization for Gaussian copula, the integration still remains.