 
Pricing engines for the Synthetic CDO instrument. More...
#include <ql/experimental/credit/syntheticcdo.hpp>#include <ql/experimental/credit/randomdefaultmodel.hpp>#include <ql/math/distributions/normaldistribution.hpp>#include <ql/math/distributions/bivariatenormaldistribution.hpp>
| Classes | |
| class | SyntheticCDO::engine | 
| CDO base engine.  More... | |
| class | MidPointCDOEngine | 
| CDO base engine taking schedule steps.  More... | |
| class | IntegralCDOEngine | 
| CDO base engine taking (possibly) small time steps.  More... | |
| class | MonteCarloCDOEngine1 | 
| CDO engine, Monte Carlo for the exptected tranche loss distribution.  More... | |
| class | MonteCarloCDOEngine2 | 
| CDO engine, Monte Carlo for the sample payoff.  More... | |
| class | HomogeneousPoolCDOEngine< CDOEngine > | 
| CDO engine, loss distribution convolution for finite homogeneous pool.  More... | |
| class | InhomogeneousPoolCDOEngine< CDOEngine > | 
| CDO engine, loss disctribution bucketing for finite inhomogeneous pool.  More... | |
| class | GaussianLHPCDOEngine< CDOEngine > | 
| Typedefs | |
| typedef HomogeneousPoolCDOEngine < MidPointCDOEngine > | HPMidPointCDOEngine | 
| typedef HomogeneousPoolCDOEngine < IntegralCDOEngine > | HPIntegralCDOEngine | 
| typedef InhomogeneousPoolCDOEngine < MidPointCDOEngine > | IHPMidPointCDOEngine | 
| typedef InhomogeneousPoolCDOEngine < IntegralCDOEngine > | IHPIntegralCDOEngine | 
| typedef GaussianLHPCDOEngine < MidPointCDOEngine > | GLHPMidPointCDOEngine | 
| typedef GaussianLHPCDOEngine < IntegralCDOEngine > | GLHPIntegralCDOEngine | 
Pricing engines for the Synthetic CDO instrument.