QuantLib: Member List

A free/open-source library for quantitative finance Reference manual - version 1.12

SaddlePointLossModel< CP > Member List

This is the complete list of members for SaddlePointLossModel< CP >, including all inherited members.

attachRatio_ (defined in SaddlePointLossModel< CP >) | SaddlePointLossModel< CP > | mutableprotected
basket_ (defined in DefaultLossModel) | DefaultLossModel | mutableprotected
conditionalExpectedLoss(const std::vector< Real > &invUncondProbs, const std::vector< Real > &mktFactor) const (defined in SaddlePointLossModel< CP >) | SaddlePointLossModel< CP > | protected
conditionalExpectedTrancheLoss(const std::vector< Real > &invUncondProbs, const std::vector< Real > &mktFactor) const (defined in SaddlePointLossModel< CP >) | SaddlePointLossModel< CP > | protected
copula_ (defined in SaddlePointLossModel< CP >) | SaddlePointLossModel< CP > | protected
CumGen0234DerivCond(const std::vector< Real > &invUncondProbs, Real saddle, const std::vector< Real > &mktFactor) const | SaddlePointLossModel< CP > | protected
CumGen02DerivCond(const std::vector< Real > &invUncondProbs, Real saddle, const std::vector< Real > &mktFactor) const | SaddlePointLossModel< CP > | protected
CumGen1stDerivative(const Date &date, Real s) const (defined in SaddlePointLossModel< CP >) | SaddlePointLossModel< CP > | protected
CumGen1stDerivativeCond(const std::vector< Real > &invUncondProbs, Real saddle, const std::vector< Real > &mktFactor) const | SaddlePointLossModel< CP > | protected
CumGen2ndDerivative(const Date &date, Real s) const (defined in SaddlePointLossModel< CP >) | SaddlePointLossModel< CP > | protected
CumGen2ndDerivativeCond(const std::vector< Real > &invUncondProbs, Real saddle, const std::vector< Real > &mktFactor) const | SaddlePointLossModel< CP > | protected
CumGen3rdDerivative(const Date &date, Real s) const (defined in SaddlePointLossModel< CP >) | SaddlePointLossModel< CP > | protected
CumGen3rdDerivativeCond(const std::vector< Real > &invUncondProbs, Real saddle, const std::vector< Real > &mktFactor) const (defined in SaddlePointLossModel< CP >) | SaddlePointLossModel< CP > | protected
CumGen4thDerivative(const Date &date, Real s) const (defined in SaddlePointLossModel< CP >) | SaddlePointLossModel< CP > | protected
CumGen4thDerivativeCond(const std::vector< Real > &invUncondProbs, Real saddle, const std::vector< Real > &mktFactor) const (defined in SaddlePointLossModel< CP >) | SaddlePointLossModel< CP > | protected
CumulantGenerating(const Date &date, Real s) const | SaddlePointLossModel< CP > | protected
CumulantGeneratingCond(const std::vector< Real > &invUncondProbs, Real lossFraction, const std::vector< Real > &mktFactor) const | SaddlePointLossModel< CP > | protected
defaultCorrelation(const Date &d, Size iName, Size jName) const | DefaultLossModel | protectedvirtual
DefaultLossModel() (defined in DefaultLossModel) | DefaultLossModel | protected
densityTrancheLoss(const Date &d, Real lossFraction) const | DefaultLossModel | protectedvirtual
detachRatio_ (defined in SaddlePointLossModel< CP >) | SaddlePointLossModel< CP > | mutableprotected
expectedRecovery(const Date &, Size iName, const DefaultProbKey &) const | DefaultLossModel | protectedvirtual
expectedShortfall(const Date &d, Probability percentile) const | SaddlePointLossModel< CP > | virtual
expectedShortfallFullPortfolioCond(const std::vector< Real > &invUncondProbs, Real lossPerc, const std::vector< Real > &mktFactor) const (defined in SaddlePointLossModel< CP >) | SaddlePointLossModel< CP > | protected
expectedShortfallSplitCond(const std::vector< Real > &invUncondProbs, Real lossPerc, const std::vector< Real > &mktFactor) const (defined in SaddlePointLossModel< CP >) | SaddlePointLossModel< CP > | protected
expectedShortfallTrancheCond(const std::vector< Real > &invUncondProbs, Real lossPerc, Probability percentile, const std::vector< Real > &mktFactor) const (defined in SaddlePointLossModel< CP >) | SaddlePointLossModel< CP > | protected
expectedTrancheLoss(const Date &d) const (defined in SaddlePointLossModel< CP >) | SaddlePointLossModel< CP > | virtual
findSaddle(const std::vector< Real > &invUncondProbs, Real lossLevel, const std::vector< Real > &mktFactor, Real accuracy=1.0e-3, Natural maxEvaluations=50) const | SaddlePointLossModel< CP > | protected
lossDistribution(const Date &d) const | SaddlePointLossModel< CP > | virtual
notifyObservers() | Observable |
Observable() (defined in Observable) | Observable |
Observable(const Observable &) (defined in Observable) | Observable |
operator=(const Observable &) | Observable |
percentile(const Date &d, Probability percentile) const | SaddlePointLossModel< CP > | virtual
probAtLeastNEvents(Size n, const Date &d) const | DefaultLossModel | protectedvirtual
probDensity(const Date &d, Real loss) const (defined in SaddlePointLossModel< CP >) | SaddlePointLossModel< CP > |
probDensityCond(const std::vector< Real > &invUncondProbs, Real loss, const std::vector< Real > &mktFactor) const | SaddlePointLossModel< CP > | protected
probOverLoss(const Date &d, Real trancheLossFract) const | SaddlePointLossModel< CP > | virtual
probOverLossCond(const std::vector< Real > &invUncondProbs, Real trancheLossFract, const std::vector< Real > &mktFactor) const | SaddlePointLossModel< CP > | protected
probOverLossPortfCond(const std::vector< Real > &invUncondProbs, Real loss, const std::vector< Real > &mktFactor) const | SaddlePointLossModel< CP > | protected
probOverLossPortfCond1stOrder(const std::vector< Real > &invUncondProbs, Real loss, const std::vector< Real > &mktFactor) const (defined in SaddlePointLossModel< CP >) | SaddlePointLossModel< CP > | protected
probOverPortfLoss(const Date &d, Real loss) const (defined in SaddlePointLossModel< CP >) | SaddlePointLossModel< CP > |
probsBeingNthEvent(Size n, const Date &d) const | DefaultLossModel | protectedvirtual
remainingNotional_ (defined in SaddlePointLossModel< CP >) | SaddlePointLossModel< CP > | mutableprotected
remainingNotionals_ (defined in SaddlePointLossModel< CP >) | SaddlePointLossModel< CP > | mutableprotected
remainingSize_ (defined in SaddlePointLossModel< CP >) | SaddlePointLossModel< CP > | mutableprotected
resetModel() | SaddlePointLossModel< CP > | protectedvirtual
SaddlePointLossModel(const boost::shared_ptr< ConstantLossLatentmodel< CP > > &m) (defined in SaddlePointLossModel< CP >) | SaddlePointLossModel< CP > | explicit
splitESFLevel(const Date &d, Real loss) const | DefaultLossModel | protectedvirtual
splitLossCond(const std::vector< Real > &invUncondProbs, Real loss, std::vector< Real > mktFactor) const (defined in SaddlePointLossModel< CP >) | SaddlePointLossModel< CP > | protected
splitVaRLevel(const Date &date, Real loss) const | SaddlePointLossModel< CP > | virtual
~Observable() (defined in Observable) | Observable | virtual