1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
|
<!DOCTYPE HTML PUBLIC "-//W3C//DTD HTML 4.01 Transitional//EN">
<html>
<head>
<meta http-equiv="Content-Type" content="text/html;charset=UTF-8">
<meta name="robots" content="none">
<title>RandomDefaultModel Class Reference</title>
<link rel="stylesheet" href="quantlib.css" type="text/css">
<link rel="stylesheet" href="print.css" type="text/css" media="print">
<link rel="shortcut icon" href="favicon.ico" type="image/x-icon">
<link rel="icon" href="favicon.ico" type="image/x-icon">
</head>
<body>
<div id="container">
<div id="header">
<img class="titleimage"
src="QL-title.jpg" width="185" height="50" border="0"
alt="QuantLib">
<br>
<h3 class="subtitle">A free/open-source library for quantitative finance</h3>
</div>
<div id="menu">
<h3 class="navbartitle">Version 1.2</h3>
<hr>
<h3 class="navbartitle">Getting started</h3>
<ul class="navbarlist">
<li class="navlink"><a href="index.html">Introduction</a></li>
<li class="navlink"><a href="where.html">Where to get QuantLib</a></li>
<li class="navlink"><a href="install.html">Installation</a></li>
<li class="navlink"><a href="config.html">Configuration</a></li>
<li class="navlink"><a href="usage.html">Usage</a></li>
<li class="navlink"><a href="history.html">Version history</a></li>
<li class="navlink"><a href="resources.html">Additional resources</a></li>
<li class="navlink"><a href="group.html">The QuantLib group</a></li>
<li class="navlink"><a href="license.html">Copyright and license</a></li>
</ul>
<hr>
<h3 class="navbartitle">Reference manual</h3>
<ul class="navbarlist">
<li class="navlink"><a href="modules.html">Modules</a></li>
<li class="navlink"><a href="hierarchy.html">Class Hierarchy</a></li>
<li class="navlink"><a href="annotated.html">Compound List</a></li>
<li class="navlink"><a href="files.html">File List</a></li>
<li class="navlink"><a href="functions.html">Compound Members</a></li>
<li class="navlink"><a href="globals.html">File Members</a></li>
<li class="navlink"><a href="todo.html">Todo List</a></li>
<li class="navlink"><a href="bug.html">Known Bugs</a></li>
<li class="navlink"><a href="caveats.html">Caveats</a></li>
<li class="navlink"><a href="test.html">Test Suite</a></li>
<li class="navlink"><a href="examples.html">Examples</a></li>
</ul>
</div>
<div id="content">
<!--Doxygen-generated content-->
<!-- Generated by Doxygen 1.7.6.1 -->
<div id="nav-path" class="navpath">
<ul>
<li class="navelem"><b>QuantLib</b> </li>
<li class="navelem"><a class="el" href="class_quant_lib_1_1_random_default_model.html">RandomDefaultModel</a> </li>
</ul>
</div>
</div>
<div class="header">
<div class="summary">
<a href="#pub-methods">Public Member Functions</a> |
<a href="#pro-attribs">Protected Attributes</a> </div>
<div class="headertitle">
<div class="title">RandomDefaultModel Class Reference</div> </div>
</div><!--header-->
<div class="contents">
<!-- doxytag: class="QuantLib::RandomDefaultModel" -->
<p>Base class for random default models.
<a href="class_quant_lib_1_1_random_default_model.html#details">More...</a></p>
<p><code>#include <ql/experimental/credit/randomdefaultmodel.hpp></code></p>
<div class="dynheader">
Inheritance diagram for RandomDefaultModel:</div>
<div class="dyncontent">
<div class="center"><img src="class_quant_lib_1_1_random_default_model__inherit__graph.png" border="0" usemap="#_random_default_model_inherit__map" alt="Inheritance graph"/></div>
<map name="_random_default_model_inherit__map" id="_random_default_model_inherit__map">
<area shape="rect" id="node3" href="class_quant_lib_1_1_gaussian_random_default_model.html" title="GaussianRandomDefaultModel" alt="" coords="5,86,205,117"/></map>
<center><span class="legend">[<a href="graph_legend.html">legend</a>]</span></center></div>
<p><a href="class_quant_lib_1_1_random_default_model-members.html">List of all members.</a></p>
<table class="memberdecls">
<tr><td colspan="2"><h2><a name="pub-methods"></a>
Public Member Functions</h2></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a71ba42c4a5efb507deda9781b6e62c19"></a><!-- doxytag: member="QuantLib::RandomDefaultModel::RandomDefaultModel" ref="a71ba42c4a5efb507deda9781b6e62c19" args="(boost::shared_ptr< Pool > pool, const std::vector< DefaultProbKey > &defaultKeys)" -->
 </td><td class="memItemRight" valign="bottom"><b>RandomDefaultModel</b> (boost::shared_ptr< Pool > pool, const std::vector< <a class="el" href="class_quant_lib_1_1_default_prob_key.html">DefaultProbKey</a> > &defaultKeys)</td></tr>
<tr><td class="memItemLeft" align="right" valign="top">virtual void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_random_default_model.html#ab88b59bed0374edc89a9d1ea4c13ace8">nextSequence</a> (<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> tmax=<a class="el" href="group__limit_macros.html#ga31675a375a563ed7a1bba05c664489af">QL_MAX_REAL</a>)=0</td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a20dcbdfbd0ec77afc802522bb7e379c1"></a><!-- doxytag: member="QuantLib::RandomDefaultModel::reset" ref="a20dcbdfbd0ec77afc802522bb7e379c1" args="()=0" -->
virtual void </td><td class="memItemRight" valign="bottom"><b>reset</b> ()=0</td></tr>
<tr><td colspan="2"><h2><a name="pro-attribs"></a>
Protected Attributes</h2></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a804abfaf5ef088110d37eccde7d1c9a0"></a><!-- doxytag: member="QuantLib::RandomDefaultModel::pool_" ref="a804abfaf5ef088110d37eccde7d1c9a0" args="" -->
boost::shared_ptr< Pool > </td><td class="memItemRight" valign="bottom"><b>pool_</b></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a69d3c9c99d522936a4f50c1223a6516c"></a><!-- doxytag: member="QuantLib::RandomDefaultModel::defaultKeys_" ref="a69d3c9c99d522936a4f50c1223a6516c" args="" -->
std::vector< <a class="el" href="class_quant_lib_1_1_default_prob_key.html">DefaultProbKey</a> > </td><td class="memItemRight" valign="bottom"><b>defaultKeys_</b></td></tr>
</table>
<hr/><a name="details" id="details"></a><h2>Detailed Description</h2>
<div class="textblock"><p>Base class for random default models. </p>
<p>Provides sequences of random default times for each name in the pool. </p>
</div><hr/><h2>Member Function Documentation</h2>
<a class="anchor" id="ab88b59bed0374edc89a9d1ea4c13ace8"></a><!-- doxytag: member="QuantLib::RandomDefaultModel::nextSequence" ref="ab88b59bed0374edc89a9d1ea4c13ace8" args="(Real tmax=QL_MAX_REAL)=0" -->
<div class="memitem">
<div class="memproto">
<table class="memname">
<tr>
<td class="memname">virtual void <a class="el" href="class_quant_lib_1_1_random_default_model.html#ab88b59bed0374edc89a9d1ea4c13ace8">nextSequence</a> </td>
<td>(</td>
<td class="paramtype"><a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td>
<td class="paramname"><em>tmax</em> = <code><a class="el" href="group__limit_macros.html#ga31675a375a563ed7a1bba05c664489af">QL_MAX_REAL</a></code></td><td>)</td>
<td><code> [pure virtual]</code></td>
</tr>
</table>
</div>
<div class="memdoc">
<p>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. </p>
<p>Implemented in <a class="el" href="class_quant_lib_1_1_gaussian_random_default_model.html#ac793b8fd2de34a6c7f3e7dce559ef39b">GaussianRandomDefaultModel</a>.</p>
</div>
</div>
</div><!-- contents -->
</div>
<div class="footer">
<div class="endmatter">
Documentation generated by
<a href="http://www.doxygen.org">Doxygen</a> 1.7.6.1
</div>
</div>
</div>
</body>
</html>
|
