- QuantLib
- MonteCarloCDOEngine1
CDO engine, Monte Carlo for the exptected tranche loss distribution. More...
#include <ql/experimental/credit/syntheticcdoengines.hpp>

Public Member Functions | |
| MonteCarloCDOEngine1 (boost::shared_ptr< RandomDefaultModel > rdm, Size samples) | |
CDO engine, Monte Carlo for the exptected tranche loss distribution.