- QuantLib
- RandomDefaultModel
 
Base class for random default models. More...
#include <ql/experimental/credit/randomdefaultmodel.hpp>

| Public Member Functions | |
| RandomDefaultModel (boost::shared_ptr< Pool > pool, const std::vector< DefaultProbKey > &defaultKeys) | |
| virtual void | nextSequence (Real tmax=QL_MAX_REAL)=0 | 
| virtual void | reset ()=0 | 
| Protected Attributes | |
| boost::shared_ptr< Pool > | pool_ | 
| std::vector< DefaultProbKey > | defaultKeys_ | 
Base class for random default models.
Provides sequences of random default times for each name in the pool.
| virtual void nextSequence | ( | Real | tmax = QL_MAX_REAL | ) |  [pure virtual] | 
Generate a sequence of random default times, one for each name in the pool, and store the result in the Pool using method setTime(name). tmax denotes the maximum relevant time- default times > tmax are not computed but set to tmax + 1 instead to save coputation time.
Implemented in GaussianRandomDefaultModel.