QuantLib: Member List

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

GaussianLHPLossModel Member List

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

allFactorCumulInverter(const std::vector< Real > &probs) const | LatentModel< GaussianCopulaPolicy > |
averageProb(const Date &d) const (defined in GaussianLHPLossModel) | GaussianLHPLossModel |
averageRecovery(const Date &d) const (defined in GaussianLHPLossModel) | GaussianLHPLossModel |
basket_ (defined in DefaultLossModel) | DefaultLossModel | mutableprotected
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) const | LatentModel< GaussianCopulaPolicy > |
cumulativeZ(Real z) const | LatentModel< GaussianCopulaPolicy > |
deepUpdate() | Observer | virtual
defaultCorrelation(const Date &d, Size iName, Size jName) const | DefaultLossModel | protectedvirtual
DefaultLossModel() (defined in DefaultLossModel) | DefaultLossModel | protected
density(const std::vector< Real > &m) const | LatentModel< GaussianCopulaPolicy > |
densityTrancheLoss(const Date &d, Real lossFraction) const | DefaultLossModel | protectedvirtual
expectedRecovery(const Date &d, Size iName, const DefaultProbKey &ik) const | GaussianLHPLossModel | protectedvirtual
expectedShortfall(const Date &d, Probability perctl) const | GaussianLHPLossModel | virtual
expectedTrancheLoss(const Date &d) const (defined in GaussianLHPLossModel) | GaussianLHPLossModel | virtual
factorWeights() const | LatentModel< 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() const | LatentModel< GaussianCopulaPolicy > |
idiosyncFctrs_ (defined in LatentModel< GaussianCopulaPolicy >) | LatentModel< GaussianCopulaPolicy > | mutableprotected
integratedExpectedValue(const boost::function< Real(const std::vector< Real > &v1)> &f) const | LatentModel< GaussianCopulaPolicy > |
integratedExpectedValue(const boost::function< Disposable< std::vector< Real > >(const std::vector< Real > &v1)> &f) const | LatentModel< GaussianCopulaPolicy > |
integration() const (defined in LatentModel< GaussianCopulaPolicy >) | LatentModel< GaussianCopulaPolicy > | protectedvirtual
inverseCumulativeDensity(Probability p, Size iFactor) const | LatentModel< GaussianCopulaPolicy > |
inverseCumulativeY(Probability p, Size iVariable) const | LatentModel< GaussianCopulaPolicy > |
inverseCumulativeZ(Probability p) const | LatentModel< 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) const | LatentModel< GaussianCopulaPolicy > |
latentVarValue(const std::vector< Real > &allFactors, Size iVar) const | LatentModel< GaussianCopulaPolicy > |
lossDistribution(const Date &) const | DefaultLossModel | protectedvirtual
nFactors_ | LatentModel< GaussianCopulaPolicy > | mutableprotected
QuantLib::notifyObservers() | Observable |
LatentModel< GaussianCopulaPolicy >::notifyObservers() | Observable |
numFactors() const | LatentModel< GaussianCopulaPolicy > |
numTotalFactors() const | LatentModel< 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 | GaussianLHPLossModel | virtual
percentilePortfolioLossFraction(const Date &d, Real perctl) const (defined in GaussianLHPLossModel) | GaussianLHPLossModel | protected
probAtLeastNEvents(Size n, const Date &d) const | DefaultLossModel | protectedvirtual
probOverLoss(const Date &d, Real remainingLossFraction) const | GaussianLHPLossModel | virtual
probsBeingNthEvent(Size n, const Date &d) const | DefaultLossModel | protectedvirtual
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 | DefaultLossModel | protectedvirtual
splitVaRLevel(const Date &d, Real loss) const | DefaultLossModel | protectedvirtual
unregisterWith(const boost::shared_ptr< Observable > &) (defined in Observer) | Observer |
unregisterWithAll() (defined in Observer) | Observer |
update() | GaussianLHPLossModel | virtual
~Observable() (defined in Observable) | Observable | virtual
~Observer() (defined in Observer) | Observer | virtual