cbomcengine.hpp File Reference

Monte Carlo pricing engine for the cashflow CDO instrument. More...

#include <qle/pricingengines/cboengine.hpp>
#include <ql/experimental/credit/distribution.hpp>
#include <ql/experimental/credit/randomdefaultmodel.hpp>
#include <ql/math/distributions/bivariatenormaldistribution.hpp>
#include <ql/math/distributions/normaldistribution.hpp>

Classes
class	MonteCarloCBOEngine
	CBO engine, Monte Carlo for the sample payoff. More...

Detailed Description

Monte Carlo pricing engine for the cashflow CDO instrument.