QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
Loading...
Searching...
No Matches
Classes | Namespaces
randomdefaultmodel.hpp File Reference

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
 

Detailed Description

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

Definition in file randomdefaultmodel.hpp.