cbomcengine.hpp File Reference

Monte Carlo pricing engine for the cashflow CDO instrument. More...

#include <qle/pricingengines/cboengine.hpp>
#include <ql/experimental/credit/distribution.hpp>
#include <ql/experimental/credit/randomdefaultmodel.hpp>
#include <ql/math/distributions/bivariatenormaldistribution.hpp>
#include <ql/math/distributions/normaldistribution.hpp>

Go to the source code of this file.

Classes
class	MonteCarloCBOEngine
	CBO engine, Monte Carlo for the sample payoff. More...

Namespaces
namespace	QuantExt

Detailed Description

Monte Carlo pricing engine for the cashflow CDO instrument.

Definition in file cbomcengine.hpp.