QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Random default-time scenarios for a pool of credit names. More...
#include <ql/math/randomnumbers/rngtraits.hpp>
#include <ql/experimental/credit/pool.hpp>
#include <ql/experimental/credit/onefactorcopula.hpp>
#include <ql/experimental/credit/defaultprobabilitykey.hpp>
Go to the source code of this file.
Classes | |
class | RandomDefaultModel |
Base class for random default models. More... | |
class | GaussianRandomDefaultModel |
Namespaces | |
namespace | QuantLib |
Random default-time scenarios for a pool of credit names.
Definition in file randomdefaultmodel.hpp.