Base class for random default models. More...

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

Inheritance diagram for RandomDefaultModel:

Collaboration diagram for RandomDefaultModel:

Public Member Functions
	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 ()

Protected Attributes
ext::shared_ptr< Pool >	pool_

std::vector< DefaultProbKey >	defaultKeys_

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator

Detailed Description

Base class for random default models.

Provides sequences of random default times for each name in the pool.

Definition at line 37 of file randomdefaultmodel.hpp.

Constructor & Destructor Documentation

◆ RandomDefaultModel()

RandomDefaultModel	(	const ext::shared_ptr< Pool > &	pool,
		const std::vector< DefaultProbKey > &	defaultKeys
	)

Definition at line 39 of file randomdefaultmodel.hpp.

◆ ~RandomDefaultModel()

~RandomDefaultModel ( )

overridedefault

Member Function Documentation

◆ update()

void update ( )

overridevirtual

This method must be implemented in derived classes. An instance of Observer does not call this method directly: instead, it will be called by the observables the instance registered with when they need to notify any changes.

Implements Observer.

Definition at line 46 of file randomdefaultmodel.hpp.

Here is the call graph for this function:

◆ nextSequence()

virtual void nextSequence ( Real tmax = QL_MAX_REAL )

pure virtual

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.

Implemented in GaussianRandomDefaultModel.

◆ reset()

virtual void reset ( )

pure virtual

Implemented in GaussianRandomDefaultModel.

Member Data Documentation

◆ pool_

ext::shared_ptr<Pool> pool_

protected

Definition at line 56 of file randomdefaultmodel.hpp.

◆ defaultKeys_

std::vector<DefaultProbKey> defaultKeys_