The engine obtains the cdo reference basket from its arguments and it
is expecting it to have a default model assigned.
FIX ME: ASSUMES basket->expectedTrancheLoss(endDate) includes past
realized losses (between cdo inception and calculation time) .... what if
basket inception is not the same as CDO's ?????
todo
non tested under realized defaults. JTD metrics might be invalid
CDO base engine taking schedule steps
The engine obtains the cdo reference basket from its arguments and it is expecting it to have a default model assigned.
FIX ME: ASSUMES basket->expectedTrancheLoss(endDate) includes past realized losses (between cdo inception and calculation time) .... what if basket inception is not the same as CDO's ?????
non tested under realized defaults. JTD metrics might be invalid