CBO engine, Monte Carlo for the sample payoff. More...
#include <qle/pricingengines/cbomcengine.hpp>
Public Member Functions | |
MonteCarloCBOEngine (boost::shared_ptr< RandomDefaultModel > rdm, Size samples=1000, Size bins=20, double errorTolerance=1.0e-6, std::vector< QuantLib::Period > lossDistributionPeriods=std::vector< QuantLib::Period >()) | |
void | calculate () const override |
Additional Inherited Members | |
Protected Member Functions inherited from CBO::engine | |
virtual void | initialize () const |
Protected Attributes inherited from CBO::engine | |
boost::shared_ptr< BondBasket > | remainingBasket_ |
CBO engine, Monte Carlo for the sample payoff.
This class implements the waterfall structures and Monte Carlo pricing of the cash flow CBO.
For more information refer to the detailed QuantExt documentation.
MonteCarloCBOEngine | ( | boost::shared_ptr< RandomDefaultModel > | rdm, |
Size | samples = 1000 , |
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Size | bins = 20 , |
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double | errorTolerance = 1.0e-6 , |
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std::vector< QuantLib::Period > | lossDistributionPeriods = std::vector<QuantLib::Period>() |
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) |
rdm | Random default model for generating samples of default times for the portfolio of names |
samples | Number of Monte Carlo samples |
bins | Discretization for resulting distributions |
errorTolerance | npvError tolerance |
lossDistributionPeriods | Periods from valuation date for which to return loss distributions |