Gaussian quadrature is
A) A quadratic spline approximation to a normal distribution
B) A way to approximate an integral of a function of a normally distribute variable as a sum of terms
C) A procedure for speeding up Monte Carlo simulation when credit derivatives are valued
D) An alternative to a look up table to determining values of the cumulative normal distribution

Question

Quizplus · Accepted Answer

Gaussian quadrature is a way of integrating over a normally distributed factor when CDOs are valued using the Gaussian copula model.Extreme values of the factor are considered appropriately

Gaussian Quadrature Is