- QuantLib
- IntegralCDOEngine
CDO base engine taking (possibly) small time steps. More...
#include <ql/experimental/credit/syntheticcdoengines.hpp>

Public Member Functions | |
| void | calculate () const |
| IntegralCDOEngine (Period stepSize=3 *Months) | |
Protected Attributes | |
| Period | stepSize_ |
CDO base engine taking (possibly) small time steps.