#include <ql/experimental/credit/randomlosslatentmodel.hpp>
Public Member Functions | |
RandomLossLM (const ext::shared_ptr< SpotRecoveryLatentModel< copulaPolicy > > &copula, Size nSims=0, Real accuracy=1.e-6, BigNatural seed=2863311530UL) | |
Protected Member Functions | |
void | nextSample (const std::vector< Real > &values) const |
void | initDates () const |
Real | getEventRecovery (const defaultSimEvent &evt) const |
Real | latentVarValue (const std::vector< Real > &factorsSample, Size iVar) const |
Size | basketSize () const |
Real | conditionalRecovery (Real latentVarSample, Size iName, const Date &d) const |
Friends | |
class | RandomLM< ::QuantLib::RandomLossLM, copulaPolicy, USNG > |
Random spot recovery rate loss model simulation for an arbitrary copula.