GaussianRandomDefaultModel Class Reference

#include <ql/experimental/credit/randomdefaultmodel.hpp>

Inheritance diagram for GaussianRandomDefaultModel:

Collaboration diagram for GaussianRandomDefaultModel:

Public Member Functions
	GaussianRandomDefaultModel (const ext::shared_ptr< Pool > &pool, const std::vector< DefaultProbKey > &defaultKeys, const Handle< OneFactorCopula > &copula, Real accuracy, long seed)
void	nextSequence (Real tmax=QL_MAX_REAL) override
void	reset () override
Public Member Functions inherited from RandomDefaultModel
	RandomDefaultModel (const ext::shared_ptr< Pool > &pool, const std::vector< DefaultProbKey > &defaultKeys)
	~RandomDefaultModel () override=default
void	update () override
virtual void	nextSequence (Real tmax=QL_MAX_REAL)=0
virtual void	reset ()=0
Public Member Functions inherited from Observer
	Observer ()=default
	Observer (const Observer &)
Observer &	operator= (const Observer &)
virtual	~Observer ()
std::pair< iterator, bool >	registerWith (const ext::shared_ptr< Observable > &)
void	registerWithObservables (const ext::shared_ptr< Observer > &)
Size	unregisterWith (const ext::shared_ptr< Observable > &)
void	unregisterWithAll ()
virtual void	update ()=0
virtual void	deepUpdate ()
Public Member Functions inherited from Observable
	Observable ()
	Observable (const Observable &)
Observable &	operator= (const Observable &)
	Observable (Observable &&)=delete
Observable &	operator= (Observable &&)=delete
virtual	~Observable ()=default
void	notifyObservers ()

Private Attributes
Handle< OneFactorCopula >	copula_
Real	accuracy_
long	seed_
PseudoRandom::rsg_type	rsg_

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator
Protected Attributes inherited from RandomDefaultModel
ext::shared_ptr< Pool >	pool_
std::vector< DefaultProbKey >	defaultKeys_

Detailed Description

Random default times using a one-factor Gaussian copula.

Definition at line 63 of file randomdefaultmodel.hpp.

Constructor & Destructor Documentation

GaussianRandomDefaultModel()

GaussianRandomDefaultModel	(	const ext::shared_ptr< Pool > &	pool,
		const std::vector< DefaultProbKey > &	defaultKeys,
		const Handle< OneFactorCopula > &	copula,
		Real	accuracy,
		long	seed
	)

Definition at line 49 of file randomdefaultmodel.cpp.

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Member Function Documentation

nextSequence()

void nextSequence ( Real  tmax = QL_MAX_REAL )

overridevirtual

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.

Implements RandomDefaultModel.

Definition at line 65 of file randomdefaultmodel.cpp.

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reset()

void reset ( )

overridevirtual

Implements RandomDefaultModel.

Definition at line 60 of file randomdefaultmodel.cpp.

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Member Data Documentation

copula_

Handle<OneFactorCopula> copula_

private

Definition at line 74 of file randomdefaultmodel.hpp.

accuracy_

Real accuracy_

private

Definition at line 75 of file randomdefaultmodel.hpp.

seed_

long seed_

private

Definition at line 76 of file randomdefaultmodel.hpp.

rsg_

PseudoRandom::rsg_type rsg_

private

Definition at line 77 of file randomdefaultmodel.hpp.