RandomDefaultModel Class Reference

Base class for random default models. More...

#include <ql/experimental/credit/randomdefaultmodel.hpp>

Inheritance diagram for RandomDefaultModel:

Public Member Functions
	RandomDefaultModel (const ext::shared_ptr< Pool > &pool, const std::vector< DefaultProbKey > &defaultKeys)
void	update ()
virtual void	nextSequence (Real tmax=QL_MAX_REAL)=0
virtual void	reset ()=0
Public Member Functions inherited from Observer
	Observer (const Observer &)
Observer &	operator= (const Observer &)
std::pair< iterator, bool >	registerWith (const ext::shared_ptr< Observable > &)
void	registerWithObservables (const ext::shared_ptr< Observer > &)
Size	unregisterWith (const ext::shared_ptr< Observable > &)
void	unregisterWithAll ()
virtual void	deepUpdate ()
Public Member Functions inherited from Observable
	Observable (const Observable &)
Observable &	operator= (const Observable &)
void	notifyObservers ()

Protected Attributes
ext::shared_ptr< Pool >	pool_
std::vector< DefaultProbKey >	defaultKeys_

Additional Inherited Members
Public Types inherited from Observer
typedef boost::unordered_set< ext::shared_ptr< Observable > >	set_type
typedef set_type::iterator	iterator

Detailed Description

Base class for random default models.

Provides sequences of random default times for each name in the pool.

Member Function Documentation

update()

void update ( )

virtual

This method must be implemented in derived classes. An instance of Observer does not call this method directly: instead, it will be called by the observables the instance registered with when they need to notify any changes.

Implements Observer.

nextSequence()

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.