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syntheticcdoengines.hpp File Reference


Detailed Description

Pricing engines for the Synthetic CDO instrument.

Todo:
Add further engines for analytical expected tranche loss cases - large homogeneous pool with Normal Inverse Gaussian, Gamma copula

Definition in file syntheticcdoengines.hpp.

#include <ql/experimental/credit/syntheticcdo.hpp>
#include <ql/experimental/credit/randomdefaultmodel.hpp>
#include <ql/math/distributions/normaldistribution.hpp>
#include <ql/math/distributions/bivariatenormaldistribution.hpp>

Go to the source code of this file.

Namespaces

namespace  QuantLib

Classes

class  QuantLib::GaussianLHPCDOEngine< CDOEngine >
class  QuantLib::HomogeneousPoolCDOEngine< CDOEngine >
 CDO engine, loss distribution convolution for finite homogeneous pool. More...
class  QuantLib::InhomogeneousPoolCDOEngine< CDOEngine >
 CDO engine, loss disctribution bucketing for finite inhomogeneous pool. More...
class  QuantLib::IntegralCDOEngine
 CDO base engine taking (possibly) small time steps. More...
class  QuantLib::MidPointCDOEngine
 CDO base engine taking schedule steps. More...
class  QuantLib::MonteCarloCDOEngine1
 CDO engine, Monte Carlo for the exptected tranche loss distribution. More...
class  QuantLib::MonteCarloCDOEngine2
 CDO engine, Monte Carlo for the sample payoff. More...
class  QuantLib::SyntheticCDO::engine
 CDO base engine. More...

Typedefs

typedef GaussianLHPCDOEngine
< IntegralCDOEngine > 
QuantLib::GLHPIntegralCDOEngine
typedef GaussianLHPCDOEngine
< MidPointCDOEngine > 
QuantLib::GLHPMidPointCDOEngine
typedef
HomogeneousPoolCDOEngine
< IntegralCDOEngine > 
QuantLib::HPIntegralCDOEngine
typedef
HomogeneousPoolCDOEngine
< MidPointCDOEngine > 
QuantLib::HPMidPointCDOEngine
typedef
InhomogeneousPoolCDOEngine
< IntegralCDOEngine > 
QuantLib::IHPIntegralCDOEngine
typedef
InhomogeneousPoolCDOEngine
< MidPointCDOEngine > 
QuantLib::IHPMidPointCDOEngine


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