#include <ql/experimental/credit/randomdefaultmodel.hpp>
 Inheritance diagram for GaussianRandomDefaultModel:
 Inheritance diagram for GaussianRandomDefaultModel:| Public Member Functions | |
| GaussianRandomDefaultModel (boost::shared_ptr< Pool > pool, const std::vector< DefaultProbKey > &defaultKeys, Handle< OneFactorCopula > copula, Real accuracy, long seed) | |
| void | nextSequence (Real tmax=QL_MAX_REAL) | 
| void | reset () | 
|  Public Member Functions inherited from RandomDefaultModel | |
| RandomDefaultModel (boost::shared_ptr< Pool > pool, const std::vector< DefaultProbKey > &defaultKeys) | |
| void | update () | 
|  Public Member Functions inherited from Observer | |
| Observer (const Observer &) | |
| Observer & | operator= (const Observer &) | 
| std::pair< iterator, bool > | registerWith (const boost::shared_ptr< Observable > &) | 
| void | registerWithObservables (const boost::shared_ptr< Observer > &) | 
| Size | unregisterWith (const boost::shared_ptr< Observable > &) | 
| void | unregisterWithAll () | 
| virtual void | deepUpdate () | 
|  Public Member Functions inherited from Observable | |
| Observable (const Observable &) | |
| Observable & | operator= (const Observable &) | 
| void | notifyObservers () | 
| Additional Inherited Members | |
|  Public Types inherited from Observer | |
| typedef std::set< boost::shared_ptr< Observable > > | set_type | 
| typedef set_type::iterator | iterator | 
|  Protected Attributes inherited from RandomDefaultModel | |
| boost::shared_ptr< Pool > | pool_ | 
| std::vector< DefaultProbKey > | defaultKeys_ | 
Random default times using a one-factor Gaussian copula.
| 
 | virtual | 
Generate a sequence of random default times, one for each name in the pool, and store the result in the Pool using method setTime(name). tmax denotes the maximum relevant time- default times > tmax are not computed but set to tmax + 1 instead to save coputation time.
Implements RandomDefaultModel.