cdo.hpp File Reference

Mid point CDO engines cached by currency. More...

#include <qle/pricingengines/midpointcdoengine.hpp>
#include <boost/algorithm/string.hpp>
#include <qle/models/homogeneouspooldef.hpp>
#include <qle/models/inhomogeneouspooldef.hpp>
#include <qle/models/poollossmodel.hpp>
#include <qle/pricingengines/indexcdstrancheengine.hpp>
#include <ored/utilities/parsers.hpp>
#include <qle/quotes/basecorrelationquote.hpp>
#include <ored/portfolio/builders/cachingenginebuilder.hpp>
#include <ored/portfolio/enginefactory.hpp>
#include <ored/utilities/log.hpp>
#include <ored/utilities/to_string.hpp>
#include <ql/quotes/simplequote.hpp>
#include <boost/make_shared.hpp>

Classes
class	CdoEngineBuilder
class	GaussCopulaBucketingCdoEngineBuilder

Namespaces
	ore
	Serializable Credit Default Swap.
	ore::data

Functions
std::vector< QuantLib::Handle< QuantLib::DefaultProbabilityTermStructure > >	buildPerformanceOptimizedDefaultCurves (const std::vector< QuantLib::Handle< QuantLib::DefaultProbabilityTermStructure >> &curves)
	Engine Builder base class for CDOs. More...

Detailed Description

Mid point CDO engines cached by currency.