ql/experimental/credit/syntheticcdoengines.hpp File Reference

Pricing engines for the Synthetic CDO instrument. More...

#include <ql/experimental/credit/syntheticcdo.hpp>
#include <ql/experimental/credit/randomdefaultmodel.hpp>
#include <ql/math/distributions/normaldistribution.hpp>
#include <ql/math/distributions/bivariatenormaldistribution.hpp>
Include dependency graph for syntheticcdoengines.hpp:

Classes

class  SyntheticCDO::engine
 CDO base engine. More...
class  MidPointCDOEngine
 CDO base engine taking schedule steps. More...
class  IntegralCDOEngine
 CDO base engine taking (possibly) small time steps. More...
class  MonteCarloCDOEngine1
 CDO engine, Monte Carlo for the exptected tranche loss distribution. More...
class  MonteCarloCDOEngine2
 CDO engine, Monte Carlo for the sample payoff. More...
class  HomogeneousPoolCDOEngine< CDOEngine >
 CDO engine, loss distribution convolution for finite homogeneous pool. More...
class  InhomogeneousPoolCDOEngine< CDOEngine >
 CDO engine, loss disctribution bucketing for finite inhomogeneous pool. More...
class  GaussianLHPCDOEngine< CDOEngine >

Typedefs

typedef
HomogeneousPoolCDOEngine
< MidPointCDOEngine > 
HPMidPointCDOEngine
typedef
HomogeneousPoolCDOEngine
< IntegralCDOEngine > 
HPIntegralCDOEngine
typedef
InhomogeneousPoolCDOEngine
< MidPointCDOEngine > 
IHPMidPointCDOEngine
typedef
InhomogeneousPoolCDOEngine
< IntegralCDOEngine > 
IHPIntegralCDOEngine
typedef GaussianLHPCDOEngine
< MidPointCDOEngine > 
GLHPMidPointCDOEngine
typedef GaussianLHPCDOEngine
< IntegralCDOEngine > 
GLHPIntegralCDOEngine

Detailed Description

Pricing engines for the Synthetic CDO instrument.

Possible enhancements:
Add further engines for analytical expected tranche loss cases - large homogeneous pool with Normal Inverse Gaussian, Gamma copula