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<div class="title">ql/experimental/credit/syntheticcdoengines.hpp File Reference</div> </div>
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<p>Pricing engines for the Synthetic CDO instrument.
<a href="#details">More...</a></p>
<div class="textblock"><code>#include <<a class="el" href="syntheticcdo_8hpp.html">ql/experimental/credit/syntheticcdo.hpp</a>></code><br/>
<code>#include <<a class="el" href="randomdefaultmodel_8hpp.html">ql/experimental/credit/randomdefaultmodel.hpp</a>></code><br/>
<code>#include <<a class="el" href="normaldistribution_8hpp.html">ql/math/distributions/normaldistribution.hpp</a>></code><br/>
<code>#include <<a class="el" href="bivariatenormaldistribution_8hpp.html">ql/math/distributions/bivariatenormaldistribution.hpp</a>></code><br/>
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Include dependency graph for syntheticcdoengines.hpp:</div>
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<area shape="rect" id="node3" href="syntheticcdo_8hpp.html" title="Synthetic Collateralized Debt Obligation and pricing engines." alt="" coords="5,86,253,117"/><area shape="rect" id="node5" href="randomdefaultmodel_8hpp.html" title="Random default-time scenarios for a pool of credit names." alt="" coords="277,86,568,117"/><area shape="rect" id="node7" href="normaldistribution_8hpp.html" title="normal, cumulative and inverse cumulative distributions" alt="" coords="568,166,837,197"/><area shape="rect" id="node9" href="bivariatenormaldistribution_8hpp.html" title="bivariate cumulative normal distribution" alt="" coords="643,86,960,117"/></map>
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</div><table class="memberdecls">
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Classes</h2></td></tr>
<tr><td class="memItemLeft" align="right" valign="top">class  </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_synthetic_c_d_o_1_1engine.html">SyntheticCDO::engine</a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight"><a class="el" href="class_quant_lib_1_1_c_d_o.html" title="collateralized debt obligation">CDO</a> base engine. <a href="class_quant_lib_1_1_synthetic_c_d_o_1_1engine.html#details">More...</a><br/></td></tr>
<tr><td class="memItemLeft" align="right" valign="top">class  </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_mid_point_c_d_o_engine.html">MidPointCDOEngine</a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight"><a class="el" href="class_quant_lib_1_1_c_d_o.html" title="collateralized debt obligation">CDO</a> base engine taking schedule steps. <a href="class_quant_lib_1_1_mid_point_c_d_o_engine.html#details">More...</a><br/></td></tr>
<tr><td class="memItemLeft" align="right" valign="top">class  </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_integral_c_d_o_engine.html">IntegralCDOEngine</a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight"><a class="el" href="class_quant_lib_1_1_c_d_o.html" title="collateralized debt obligation">CDO</a> base engine taking (possibly) small time steps. <a href="class_quant_lib_1_1_integral_c_d_o_engine.html#details">More...</a><br/></td></tr>
<tr><td class="memItemLeft" align="right" valign="top">class  </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_monte_carlo_c_d_o_engine1.html">MonteCarloCDOEngine1</a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight"><a class="el" href="class_quant_lib_1_1_c_d_o.html" title="collateralized debt obligation">CDO</a> engine, Monte Carlo for the exptected tranche loss distribution. <a href="class_quant_lib_1_1_monte_carlo_c_d_o_engine1.html#details">More...</a><br/></td></tr>
<tr><td class="memItemLeft" align="right" valign="top">class  </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_monte_carlo_c_d_o_engine2.html">MonteCarloCDOEngine2</a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight"><a class="el" href="class_quant_lib_1_1_c_d_o.html" title="collateralized debt obligation">CDO</a> engine, Monte Carlo for the sample payoff. <a href="class_quant_lib_1_1_monte_carlo_c_d_o_engine2.html#details">More...</a><br/></td></tr>
<tr><td class="memItemLeft" align="right" valign="top">class  </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_homogeneous_pool_c_d_o_engine.html">HomogeneousPoolCDOEngine< CDOEngine ></a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight"><a class="el" href="class_quant_lib_1_1_c_d_o.html" title="collateralized debt obligation">CDO</a> engine, loss distribution convolution for finite homogeneous pool. <a href="class_quant_lib_1_1_homogeneous_pool_c_d_o_engine.html#details">More...</a><br/></td></tr>
<tr><td class="memItemLeft" align="right" valign="top">class  </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_inhomogeneous_pool_c_d_o_engine.html">InhomogeneousPoolCDOEngine< CDOEngine ></a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight"><a class="el" href="class_quant_lib_1_1_c_d_o.html" title="collateralized debt obligation">CDO</a> engine, loss disctribution bucketing for finite inhomogeneous pool. <a href="class_quant_lib_1_1_inhomogeneous_pool_c_d_o_engine.html#details">More...</a><br/></td></tr>
<tr><td class="memItemLeft" align="right" valign="top">class  </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_gaussian_l_h_p_c_d_o_engine.html">GaussianLHPCDOEngine< CDOEngine ></a></td></tr>
<tr><td colspan="2"><h2><a name="typedef-members"></a>
Typedefs</h2></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ae8edae9863ac41f9e54bd00229f278e6"></a><!-- doxytag: member="syntheticcdoengines.hpp::HPMidPointCDOEngine" ref="ae8edae9863ac41f9e54bd00229f278e6" args="" -->
typedef <br class="typebreak"/>
HomogeneousPoolCDOEngine<br class="typebreak"/>
< MidPointCDOEngine > </td><td class="memItemRight" valign="bottom"><b>HPMidPointCDOEngine</b></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ac53ee80aa8fd35068358454f5a6a1783"></a><!-- doxytag: member="syntheticcdoengines.hpp::HPIntegralCDOEngine" ref="ac53ee80aa8fd35068358454f5a6a1783" args="" -->
typedef <br class="typebreak"/>
HomogeneousPoolCDOEngine<br class="typebreak"/>
< IntegralCDOEngine > </td><td class="memItemRight" valign="bottom"><b>HPIntegralCDOEngine</b></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ae6fca27c1ef390c66e6a321046a1dfc8"></a><!-- doxytag: member="syntheticcdoengines.hpp::IHPMidPointCDOEngine" ref="ae6fca27c1ef390c66e6a321046a1dfc8" args="" -->
typedef <br class="typebreak"/>
InhomogeneousPoolCDOEngine<br class="typebreak"/>
< MidPointCDOEngine > </td><td class="memItemRight" valign="bottom"><b>IHPMidPointCDOEngine</b></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a022d7e0deb95aa56100a16e06428e5b3"></a><!-- doxytag: member="syntheticcdoengines.hpp::IHPIntegralCDOEngine" ref="a022d7e0deb95aa56100a16e06428e5b3" args="" -->
typedef <br class="typebreak"/>
InhomogeneousPoolCDOEngine<br class="typebreak"/>
< IntegralCDOEngine > </td><td class="memItemRight" valign="bottom"><b>IHPIntegralCDOEngine</b></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="aac4c2f048cee679c4e8f36ffc4813711"></a><!-- doxytag: member="syntheticcdoengines.hpp::GLHPMidPointCDOEngine" ref="aac4c2f048cee679c4e8f36ffc4813711" args="" -->
typedef GaussianLHPCDOEngine<br class="typebreak"/>
< MidPointCDOEngine > </td><td class="memItemRight" valign="bottom"><b>GLHPMidPointCDOEngine</b></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="aa63e31c031f22056f9984c815a58b0e9"></a><!-- doxytag: member="syntheticcdoengines.hpp::GLHPIntegralCDOEngine" ref="aa63e31c031f22056f9984c815a58b0e9" args="" -->
typedef GaussianLHPCDOEngine<br class="typebreak"/>
< IntegralCDOEngine > </td><td class="memItemRight" valign="bottom"><b>GLHPIntegralCDOEngine</b></td></tr>
</table>
<hr/><a name="details" id="details"></a><h2>Detailed Description</h2>
<div class="textblock"><p>Pricing engines for the Synthetic CDO instrument. </p>
<dl class="todo"><dt><b><a class="el" href="todo.html#_todo000012">Possible enhancements:</a></b></dt><dd>Add further engines for analytical expected tranche loss cases - large homogeneous pool with Normal Inverse Gaussian, Gamma copula </dd></dl>
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