- QuantLib
- GaussianRecursiveCdoEngine
Specialization for Gaussian copula, the integration still remains. More...
#include <ql/experimental/credit/recursivecdoengine.hpp>
Public Member Functions | |
GaussianRecursiveCdoEngine (const Handle< Quote > &correlQuote, Size nbuckets=1, Size quadOrder=12, Real maxval=5., Size steps=50) | |
quote constructor. |
Specialization for Gaussian copula, the integration still remains.