Pricing engines for the Synthetic CDO instrument. More...
#include <ql/experimental/credit/syntheticcdo.hpp>#include <ql/experimental/credit/randomdefaultmodel.hpp>#include <ql/math/distributions/normaldistribution.hpp>#include <ql/math/distributions/bivariatenormaldistribution.hpp>
Classes | |
| class | SyntheticCDO::engine |
| CDO base engine. More... | |
| class | MidPointCDOEngine |
| CDO base engine taking schedule steps. More... | |
| class | IntegralCDOEngine |
| CDO base engine taking (possibly) small time steps. More... | |
| class | MonteCarloCDOEngine1 |
| CDO engine, Monte Carlo for the exptected tranche loss distribution. More... | |
| class | MonteCarloCDOEngine2 |
| CDO engine, Monte Carlo for the sample payoff. More... | |
| class | HomogeneousPoolCDOEngine< CDOEngine > |
| CDO engine, loss distribution convolution for finite homogeneous pool. More... | |
| class | InhomogeneousPoolCDOEngine< CDOEngine > |
| CDO engine, loss disctribution bucketing for finite inhomogeneous pool. More... | |
| class | GaussianLHPCDOEngine< CDOEngine > |
Typedefs | |
|
typedef HomogeneousPoolCDOEngine < MidPointCDOEngine > | HPMidPointCDOEngine |
|
typedef HomogeneousPoolCDOEngine < IntegralCDOEngine > | HPIntegralCDOEngine |
|
typedef InhomogeneousPoolCDOEngine < MidPointCDOEngine > | IHPMidPointCDOEngine |
|
typedef InhomogeneousPoolCDOEngine < IntegralCDOEngine > | IHPIntegralCDOEngine |
|
typedef GaussianLHPCDOEngine < MidPointCDOEngine > | GLHPMidPointCDOEngine |
|
typedef GaussianLHPCDOEngine < IntegralCDOEngine > | GLHPIntegralCDOEngine |
Pricing engines for the Synthetic CDO instrument.