stoplightbounds.cpp File Reference

#include <qle/math/stoplightbounds.hpp>
#include <ql/math/comparison.hpp>
#include <ql/math/randomnumbers/rngtraits.hpp>
#include <boost/accumulators/accumulators.hpp>
#include <boost/accumulators/framework/accumulator_set.hpp>
#include <boost/accumulators/statistics.hpp>
#include <boost/accumulators/statistics/tail_quantile.hpp>
#include <boost/algorithm/string/join.hpp>
#include <boost/math/distributions/binomial.hpp>
#include <boost/range/adaptor/transformed.hpp>
#include <algorithm>

Go to the source code of this file.

Namespaces
namespace	QuantExt

Functions
std::vector< Size >	stopLightBoundsTabulated (const std::vector< Real > &stopLightP, const Size observations, const Size numberOfDays, const Real p)
std::vector< Size >	stopLightBounds (const std::vector< Real > &stopLightP, const Size observations, const Size numberOfDays, const Real p, const Size numberOfPortfolios, const Matrix &correlation, const Size samples, const Size seed, const SalvagingAlgorithm::Type salvaging, const Size exceptions, Real *cumProb)
std::vector< Size >	stopLightBounds (const std::vector< Real > &stopLightP, const Size observations, const Real p, const Size exceptions, Real *cumProb)
std::vector< std::pair< Size, std::vector< Size > > >	generateStopLightBoundTable (const std::vector< Size > &observations, const std::vector< Real > &stopLightP, const Size samples, const Size seed, const Size numberOfDays, const Real p)