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randomdefaultmodel.hpp File Reference

Detailed Description

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

Definition in file randomdefaultmodel.hpp.

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

Go to the source code of this file.


namespace  QuantLib


class  QuantLib::GaussianRandomDefaultModel
class  QuantLib::RandomDefaultModel
 Base class for random default models. More...

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