#include <ql/experimental/credit/randomdefaultlatentmodel.hpp>
Public Member Functions | |
RandomDefaultLM (const ext::shared_ptr< DefaultLatentModel< copulaPolicy > > &model, const std::vector< Real > &recoveries=std::vector< Real >(), Size nSims=0, Real accuracy=1.e-6, BigNatural seed=2863311530UL) | |
RandomDefaultLM (const ext::shared_ptr< ConstantLossLatentmodel< copulaPolicy > > &model, 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 | expectedRecovery (const Date &, Size iName, const DefaultProbKey &) const |
Real | latentVarValue (const std::vector< Real > &factorsSample, Size iVar) const |
Size | basketSize () const |
Friends | |
class | RandomLM< ::QuantLib::RandomDefaultLM, copulaPolicy, USNG > |
Random default with deterministic recovery event type.
Default only latent model simulation with trivially fixed recovery amounts.