CBO engine, Monte Carlo for the sample payoff. More...

#include <qle/pricingengines/cbomcengine.hpp>

Inheritance diagram for MonteCarloCBOEngine:

Public Member Functions
	MonteCarloCBOEngine (QuantLib::ext::shared_ptr< RandomDefaultModel > rdm, Size samples=1000, Size bins=20, double errorTolerance=1.0e-6, std::vector< QuantLib::Period > lossDistributionPeriods=std::vector< QuantLib::Period >())
void	calculate () const override

Additional Inherited Members
Protected Member Functions inherited from CBO::engine
virtual void	initialize () const
Protected Attributes inherited from CBO::engine
QuantLib::ext::shared_ptr< BondBasket >	remainingBasket_

Detailed Description

CBO engine, Monte Carlo for the sample payoff.

This class implements the waterfall structures and Monte Carlo pricing of the cash flow CBO.

For more information refer to the detailed QuantExt documentation.

Constructor & Destructor Documentation

MonteCarloCBOEngine	(	QuantLib::ext::shared_ptr< RandomDefaultModel >	rdm,
		Size	samples = 1000,
		Size	bins = 20,
		double	errorTolerance = 1.0e-6,
		std::vector< QuantLib::Period >	lossDistributionPeriods = std::vector<QuantLib::Period>() )

Parameters

rdm	Random default model for generating samples of default times for the portfolio of names
samples	Number of Monte Carlo samples
bins	Discretization for resulting distributions
errorTolerance	npvError tolerance
lossDistributionPeriods	Periods from valuation date for which to return loss distributions