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randomdefaultmodel.hpp

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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */

/*
 Copyright (C) 2008 Roland Lichters
 Copyright (C) 2009 Jose Aparicio

 This file is part of QuantLib, a free-software/open-source library
 for financial quantitative analysts and developers - http://quantlib.org/

 QuantLib is free software: you can redistribute it and/or modify it
 under the terms of the QuantLib license.  You should have received a
 copy of the license along with this program; if not, please email
 <quantlib-dev@lists.sf.net>. The license is also available online at
 <http://quantlib.org/license.shtml>.

 This program is distributed in the hope that it will be useful, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
 FOR A PARTICULAR PURPOSE.  See the license for more details.
*/

/*! \file randomdefaultmodel.hpp
    \brief Random default-time scenarios for a pool of credit names
*/

#ifndef quantlib_random_default_model_hpp
#define quantlib_random_default_model_hpp

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

namespace QuantLib {

    //! Base class for random default models
    /*! Provides sequences of random default times for each name in the pool. */
00037     class RandomDefaultModel {
    public:
        RandomDefaultModel(boost::shared_ptr<Pool> pool,
                           const std::vector<DefaultProbKey>& defaultKeys)
        : pool_(pool), defaultKeys_(defaultKeys) {
            // assuming none defaulted this is true.
            QL_REQUIRE(defaultKeys.size() == pool->size(),
                       "Incompatible pool and keys sizes.");
        }
        virtual ~RandomDefaultModel() {}
        /*!
          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.
         */
        virtual void nextSequence(Real tmax = QL_MAX_REAL) = 0;
        virtual void reset() = 0;
    protected:
        boost::shared_ptr<Pool> pool_;
        std::vector<DefaultProbKey> defaultKeys_;
    };

    /*!
      Random default times using a one-factor Gaussian copula.
    */
00063     class GaussianRandomDefaultModel : public RandomDefaultModel {
    public:
        GaussianRandomDefaultModel(
                               boost::shared_ptr<Pool> pool,
                               const std::vector<DefaultProbKey>& defaultKeys,
                               Handle<OneFactorCopula> copula,
                               Real accuracy, long seed);
        void nextSequence(Real tmax = QL_MAX_REAL);
        void reset();
    private:
        Handle<OneFactorCopula> copula_;
        Real accuracy_;
        long seed_;
        PseudoRandom::rsg_type rsg_;
    };

}

#endif

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