QuantLib: Member List

A free/open-source library for quantitative finance Reference manual - version 1.20

SpotRecoveryLatentModel< copulaPolicy > Member List

This is the complete list of members for SpotRecoveryLatentModel< copulaPolicy >, including all inherited members.

allFactorCumulInverter(const std::vector< Real > &probs) const | LatentModel< copulaPolicy > |
cachedMktFactor_ (defined in LatentModel< copulaPolicy >) | LatentModel< copulaPolicy > | mutableprotected
conditionalDefaultProbability(const Date &date, Size iName, const std::vector< Real > &mktFactors) const (defined in SpotRecoveryLatentModel< copulaPolicy >) | SpotRecoveryLatentModel< copulaPolicy > |
conditionalDefaultProbability(Probability prob, Size iName, const std::vector< Real > &mktFactors) const (defined in SpotRecoveryLatentModel< copulaPolicy >) | SpotRecoveryLatentModel< copulaPolicy > |
conditionalDefaultProbabilityInvP(Real invCumYProb, Size iName, const std::vector< Real > &m) const (defined in SpotRecoveryLatentModel< copulaPolicy >) | SpotRecoveryLatentModel< copulaPolicy > |
conditionalExpLossRR(const Date &d, Size iName, const std::vector< Real > &mktFactors) const (defined in SpotRecoveryLatentModel< copulaPolicy >) | SpotRecoveryLatentModel< copulaPolicy > |
conditionalExpLossRRInv(Real invP, Real invRR, Size iName, const std::vector< Real > &mktFactors) const (defined in SpotRecoveryLatentModel< copulaPolicy >) | SpotRecoveryLatentModel< copulaPolicy > |
conditionalRecovery(Real latentVarSample, Size iName, const Date &d) const | SpotRecoveryLatentModel< copulaPolicy > |
copula() const (defined in LatentModel< copulaPolicy >) | LatentModel< copulaPolicy > |
copula_ (defined in LatentModel< copulaPolicy >) | LatentModel< copulaPolicy > | mutableprotected
copulaType typedef (defined in LatentModel< copulaPolicy >) | LatentModel< copulaPolicy > |
cumulativeY(Real val, Size iVariable) const | LatentModel< copulaPolicy > |
cumulativeZ(Real z) const | LatentModel< copulaPolicy > |
deepUpdate() | Observer | virtual
density(const std::vector< Real > &m) const | LatentModel< copulaPolicy > |
expCondRecovery(const Date &d, Size iName, const std::vector< Real > &mktFactors) const | SpotRecoveryLatentModel< copulaPolicy > |
expCondRecoveryInvPinvRR(Real invUncondDefP, Real invUncondRR, Size iName, const std::vector< Real > &mktFactors) const (defined in SpotRecoveryLatentModel< copulaPolicy >) | SpotRecoveryLatentModel< copulaPolicy > |
expCondRecoveryP(Real uncondDefP, Size iName, const std::vector< Real > &mktFactors) const (defined in SpotRecoveryLatentModel< copulaPolicy >) | SpotRecoveryLatentModel< copulaPolicy > |
expectedLoss(const Date &d, Size iName) const | SpotRecoveryLatentModel< copulaPolicy > |
factorWeights() const | LatentModel< copulaPolicy > |
factorWeights_ (defined in LatentModel< copulaPolicy >) | LatentModel< copulaPolicy > | mutableprotected
idiosyncFctrs() const | LatentModel< copulaPolicy > |
idiosyncFctrs_ (defined in LatentModel< copulaPolicy >) | LatentModel< copulaPolicy > | mutableprotected
integratedExpectedValue(const ext::function< Real(const std::vector< Real > &v1)> &f) const | LatentModel< copulaPolicy > |
integratedExpectedValue(const ext::function< Disposable< std::vector< Real > >(const std::vector< Real > &v1)> &f) const | LatentModel< copulaPolicy > |
integration() const | SpotRecoveryLatentModel< copulaPolicy > | protected
integration() const (defined in LatentModel< copulaPolicy >) | LatentModel< copulaPolicy > | protectedvirtual
inverseCumulativeDensity(Probability p, Size iFactor) const | LatentModel< copulaPolicy > |
inverseCumulativeY(Probability p, Size iVariable) const | LatentModel< copulaPolicy > |
inverseCumulativeZ(Probability p) const | LatentModel< copulaPolicy > |
iterator typedef (defined in Observer) | Observer |
LatentModel(const std::vector< std::vector< Real > > &factorsWeights, const typename copulaType::initTraits &ini=copulaType::initTraits()) | LatentModel< copulaPolicy > | explicit
LatentModel(const std::vector< Real > &factorsWeight, const typename copulaType::initTraits &ini=copulaType::initTraits()) | LatentModel< copulaPolicy > | explicit
LatentModel(Real correlSqr, Size nVariables, const typename copulaType::initTraits &ini=copulaType::initTraits()) | LatentModel< copulaPolicy > | explicit
LatentModel(const Handle< Quote > &singleFactorCorrel, Size nVariables, const typename copulaType::initTraits &ini=copulaType::initTraits()) | LatentModel< copulaPolicy > | explicit
latentRRVarValue(const std::vector< Real > &allFactors, Size iName) const | SpotRecoveryLatentModel< copulaPolicy > |
latentVariableCorrel(Size iVar1, Size iVar2) const | LatentModel< copulaPolicy > |
latentVarValue(const std::vector< Real > &allFactors, Size iVar) const | LatentModel< copulaPolicy > |
nFactors_ | LatentModel< copulaPolicy > | mutableprotected
notifyObservers() | Observable |
numFactors() const | LatentModel< copulaPolicy > |
numTotalFactors() const | LatentModel< copulaPolicy > |
nVariables_ | LatentModel< copulaPolicy > | mutableprotected
Observable() (defined in Observable) | Observable |
Observable(const Observable &) (defined in Observable) | Observable |
Observer() (defined in Observer) | Observer |
Observer(const Observer &) (defined in Observer) | Observer |
operator=(const Observer &) (defined in Observer) | Observer |
QuantLib::Observable::operator=(const Observable &) | Observable |
registerWith(const ext::shared_ptr< Observable > &) (defined in Observer) | Observer |
registerWithObservables(const ext::shared_ptr< Observer > &) | Observer |
resetBasket(const ext::shared_ptr< Basket > &basket) const (defined in SpotRecoveryLatentModel< copulaPolicy >) | SpotRecoveryLatentModel< copulaPolicy > |
set_type typedef (defined in Observer) | Observer |
size() const (defined in LatentModel< copulaPolicy >) | LatentModel< copulaPolicy > |
SpotRecoveryLatentModel(const std::vector< std::vector< Real > > &factorWeights, const std::vector< Real > &recoveries, Real modelA, LatentModelIntegrationType::LatentModelIntegrationType integralType, const initTraits &ini=initTraits()) (defined in SpotRecoveryLatentModel< copulaPolicy >) | SpotRecoveryLatentModel< copulaPolicy > |
unregisterWith(const ext::shared_ptr< Observable > &) (defined in Observer) | Observer |
unregisterWithAll() (defined in Observer) | Observer |
update() | LatentModel< copulaPolicy > | virtual
~Observable() (defined in Observable) | Observable | virtual
~Observer() (defined in Observer) | Observer | virtual