QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.8
GaussianLHPLossModel Member List

This is the complete list of members for GaussianLHPLossModel, including all inherited members.

allFactorCumulInverter(const std::vector< Real > &probs) constLatentModel< GaussianCopulaPolicy >
averageProb(const Date &d) const (defined in GaussianLHPLossModel)GaussianLHPLossModel
averageRecovery(const Date &d) const (defined in GaussianLHPLossModel)GaussianLHPLossModel
basket_ (defined in DefaultLossModel)DefaultLossModelmutableprotected
cachedMktFactor_ (defined in LatentModel< GaussianCopulaPolicy >)LatentModel< GaussianCopulaPolicy >mutableprotected
copula() const (defined in LatentModel< GaussianCopulaPolicy >)LatentModel< GaussianCopulaPolicy >
copula_ (defined in LatentModel< GaussianCopulaPolicy >)LatentModel< GaussianCopulaPolicy >mutableprotected
copulaType typedef (defined in GaussianLHPLossModel)GaussianLHPLossModel
cumulativeY(Real val, Size iVariable) constLatentModel< GaussianCopulaPolicy >
cumulativeZ(Real z) constLatentModel< GaussianCopulaPolicy >
defaultCorrelation(const Date &d, Size iName, Size jName) const DefaultLossModelprotectedvirtual
DefaultLossModel() (defined in DefaultLossModel)DefaultLossModelprotected
density(const std::vector< Real > &m) constLatentModel< GaussianCopulaPolicy >
densityTrancheLoss(const Date &d, Real lossFraction) const DefaultLossModelprotectedvirtual
expectedRecovery(const Date &d, Size iName, const DefaultProbKey &ik) const GaussianLHPLossModelprotectedvirtual
expectedShortfall(const Date &d, Probability perctl) const GaussianLHPLossModelvirtual
expectedTrancheLoss(const Date &d) const (defined in GaussianLHPLossModel)GaussianLHPLossModelvirtual
factorWeights() constLatentModel< GaussianCopulaPolicy >
factorWeights_ (defined in LatentModel< GaussianCopulaPolicy >)LatentModel< GaussianCopulaPolicy >mutableprotected
GaussianLHPLossModel(const Handle< Quote > &correlQuote, const std::vector< Handle< RecoveryRateQuote > > &quotes) (defined in GaussianLHPLossModel)GaussianLHPLossModel
GaussianLHPLossModel(Real correlation, const std::vector< Real > &recoveries) (defined in GaussianLHPLossModel)GaussianLHPLossModel
GaussianLHPLossModel(const Handle< Quote > &correlQuote, const std::vector< Real > &recoveries) (defined in GaussianLHPLossModel)GaussianLHPLossModel
idiosyncFctrs() constLatentModel< GaussianCopulaPolicy >
idiosyncFctrs_ (defined in LatentModel< GaussianCopulaPolicy >)LatentModel< GaussianCopulaPolicy >mutableprotected
integratedExpectedValue(const boost::function< Real(const std::vector< Real > &v1)> &f) constLatentModel< GaussianCopulaPolicy >
integratedExpectedValue(const boost::function< Disposable< std::vector< Real > >(const std::vector< Real > &v1)> &f) constLatentModel< GaussianCopulaPolicy >
integration() const (defined in LatentModel< GaussianCopulaPolicy >)LatentModel< GaussianCopulaPolicy >protectedvirtual
inverseCumulativeDensity(Probability p, Size iFactor) constLatentModel< GaussianCopulaPolicy >
inverseCumulativeY(Probability p, Size iVariable) constLatentModel< GaussianCopulaPolicy >
inverseCumulativeZ(Probability p) constLatentModel< GaussianCopulaPolicy >
iterator typedef (defined in Observer)Observer
LatentModel(const std::vector< std::vector< Real > > &factorsWeights, const typename copulaType::initTraits &ini=copulaType::initTraits())LatentModel< GaussianCopulaPolicy >explicit
LatentModel(const std::vector< Real > &factorsWeight, const typename copulaType::initTraits &ini=copulaType::initTraits())LatentModel< GaussianCopulaPolicy >explicit
LatentModel(const Real correlSqr, Size nVariables, const typename copulaType::initTraits &ini=copulaType::initTraits())LatentModel< GaussianCopulaPolicy >explicit
LatentModel(const Handle< Quote > &singleFactorCorrel, Size nVariables, const typename copulaType::initTraits &ini=copulaType::initTraits())LatentModel< GaussianCopulaPolicy >explicit
latentVariableCorrel(Size iVar1, Size iVar2) constLatentModel< GaussianCopulaPolicy >
latentVarValue(const std::vector< Real > &allFactors, Size iVar) constLatentModel< GaussianCopulaPolicy >
lossDistribution(const Date &) const DefaultLossModelprotectedvirtual
nFactors_LatentModel< GaussianCopulaPolicy >mutableprotected
QuantLib::notifyObservers()Observable
LatentModel< GaussianCopulaPolicy >::notifyObservers()Observable
numFactors() constLatentModel< GaussianCopulaPolicy >
numTotalFactors() constLatentModel< GaussianCopulaPolicy >
nVariables_LatentModel< GaussianCopulaPolicy >mutableprotected
Observable() (defined in Observable)Observable
Observable(const Observable &) (defined in Observable)Observable
Observable() (defined in Observable)Observable
Observable(const Observable &) (defined in Observable)Observable
Observer() (defined in Observer)Observer
Observer(const Observer &) (defined in Observer)Observer
QuantLib::operator=(const Observable &)Observable
operator=(const Observer &) (defined in Observer)Observer
LatentModel< GaussianCopulaPolicy >::QuantLib::Observable::operator=(const Observable &)Observable
percentile(const Date &d, Real perctl) const GaussianLHPLossModelvirtual
percentilePortfolioLossFraction(const Date &d, Real perctl) const (defined in GaussianLHPLossModel)GaussianLHPLossModelprotected
probAtLeastNEvents(Size n, const Date &d) const DefaultLossModelprotectedvirtual
probOverLoss(const Date &d, Real remainingLossFraction) const GaussianLHPLossModelvirtual
probsBeingNthEvent(Size n, const Date &d) const DefaultLossModelprotectedvirtual
registerWith(const boost::shared_ptr< Observable > &) (defined in Observer)Observer
registerWithObservables(const boost::shared_ptr< Observer > &)Observer
set_type typedef (defined in Observer)Observer
size() const (defined in LatentModel< GaussianCopulaPolicy >)LatentModel< GaussianCopulaPolicy >
splitESFLevel(const Date &d, Real loss) const DefaultLossModelprotectedvirtual
splitVaRLevel(const Date &d, Real loss) const DefaultLossModelprotectedvirtual
unregisterWith(const boost::shared_ptr< Observable > &) (defined in Observer)Observer
unregisterWithAll() (defined in Observer)Observer
update()GaussianLHPLossModelvirtual
~Observable() (defined in Observable)Observablevirtual
~Observer() (defined in Observer)Observervirtual