QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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saddlepointlossmodel.hpp File Reference
#include <ql/tuple.hpp>
#include <ql/math/solvers1d/brent.hpp>
#include <ql/math/solvers1d/newton.hpp>
#include <ql/experimental/credit/basket.hpp>
#include <ql/experimental/credit/defaultlossmodel.hpp>
#include <ql/experimental/credit/constantlosslatentmodel.hpp>

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Classes

class  SaddlePointLossModel< CP >
 Saddle point portfolio credit default loss model. More...
 
class  SaddlePointLossModel< CP >::SaddleObjectiveFunction
 
class  SaddlePointLossModel< CP >::SaddlePercObjFunction
 

Namespaces

namespace  QuantLib