QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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#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>
Go to the source code of this file.
Classes | |
class | SaddlePointLossModel< CP > |
Saddle point portfolio credit default loss model. More... | |
class | SaddlePointLossModel< CP >::SaddleObjectiveFunction |
class | SaddlePointLossModel< CP >::SaddlePercObjFunction |
Namespaces | |
namespace | QuantLib |