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.