stoplightbounds.hpp File Reference

compute stop light bounds for overlapping and correlated PL More...

#include <ql/math/matrix.hpp>
#include <ql/math/matrixutilities/pseudosqrt.hpp>
#include <ql/types.hpp>
#include <vector>

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Namespaces
namespace	QuantExt

Functions
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 >	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 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)

Detailed Description

compute stop light bounds for overlapping and correlated PL

Definition in file stoplightbounds.hpp.