24#ifndef quantlib_creditriskplus_hpp
25#define quantlib_creditriskplus_hpp
46 std::vector<Real> defaultProbability,
47 std::vector<Size> sector,
78 const std::vector<Real>
pd_;
const std::vector< Real > & marginalLoss()
std::vector< Real > loss_
unsigned long upperIndex_
const std::vector< Real > exposure_
Real relativeDefaultVariance() const
std::vector< Real > sectorEl_
const Matrix correlation_
std::vector< Real > sectorExposure_
const std::vector< Real > relativeDefaultVariance_
Real lossQuantile(Real p)
const std::vector< Real > & loss()
const std::vector< Real > pd_
const std::vector< Real > & sectorExpectedLoss() const
Real unexpectedLoss() const
const std::vector< Size > sector_
Real expectedLoss() const
const std::vector< Real > & sectorExposures() const
const std::vector< Real > & sectorUnexpectedLoss() const
std::vector< Real > marginalLoss_
std::vector< Real > sectorUl_
Matrix used in linear algebra.
std::size_t Size
size of a container
matrix used in linear algebra.
Global definitions and compiler switches.