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QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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This is the complete list of members for ConstantLossModel< copulaPolicy >, including all inherited members.
| allFactorCumulInverter(const std::vector< Real > &probs) const | LatentModel< copulaPolicy > | |
| QuantLib::basket_ | DefaultLatentModel< copulaPolicy > | mutableprotected |
| QuantLib::DefaultLossModel::basket_ | DefaultLossModel | mutableprotected |
| cachedMktFactor_ | LatentModel< copulaPolicy > | mutableprotected |
| conditionalDefaultProbability(Probability prob, Size iName, const std::vector< Real > &mktFactors) const | DefaultLatentModel< copulaPolicy > | |
| conditionalDefaultProbability(const Date &date, Size iName, const std::vector< Real > &mktFactors) const | DefaultLatentModel< copulaPolicy > | protected |
| conditionalDefaultProbabilityInvP(Real invCumYProb, Size iName, const std::vector< Real > &m) const | DefaultLatentModel< copulaPolicy > | |
| conditionalProbAtLeastNEvents(Size n, const Date &date, const std::vector< Real > &mktFactors) const | DefaultLatentModel< copulaPolicy > | protected |
| conditionalRecovery(const Date &d, Size iName, const std::vector< Real > &mktFactors) const | ConstantLossLatentmodel< copulaPolicy > | |
| conditionalRecovery(Probability uncondDefP, Size iName, const std::vector< Real > &mktFactors) const | ConstantLossLatentmodel< copulaPolicy > | |
| conditionalRecovery(Real latentVarSample, Size iName, const Date &d) const | ConstantLossLatentmodel< copulaPolicy > | |
| conditionalRecoveryInvP(Real invUncondDefP, Size iName, const std::vector< Real > &mktFactors) const | ConstantLossLatentmodel< copulaPolicy > | |
| condProbProduct(Real invCumYProb1, Real invCumYProb2, Size iName1, Size iName2, const std::vector< Real > &mktFactors) const | DefaultLatentModel< copulaPolicy > | protected |
| ConstantLossLatentmodel(const std::vector< std::vector< Real > > &factorWeights, const std::vector< Real > &recoveries, LatentModelIntegrationType::LatentModelIntegrationType integralType, const initTraits &ini=initTraits()) | ConstantLossLatentmodel< copulaPolicy > | |
| ConstantLossLatentmodel(const Handle< Quote > &mktCorrel, const std::vector< Real > &recoveries, LatentModelIntegrationType::LatentModelIntegrationType integralType, Size nVariables, const initTraits &ini=initTraits()) | ConstantLossLatentmodel< copulaPolicy > | |
| ConstantLossModel(const std::vector< std::vector< Real > > &factorWeights, const std::vector< Real > &recoveries, LatentModelIntegrationType::LatentModelIntegrationType integralType, const typename copulaPolicy::initTraits &ini=copulaPolicy::initTraits()) | ConstantLossModel< copulaPolicy > | |
| ConstantLossModel(const Handle< Quote > &mktCorrel, const std::vector< Real > &recoveries, LatentModelIntegrationType::LatentModelIntegrationType integralType, Size nVariables, const typename copulaPolicy::initTraits &ini=copulaPolicy::initTraits()) | ConstantLossModel< copulaPolicy > | |
| copula() const | LatentModel< copulaPolicy > | |
| copula_ | LatentModel< copulaPolicy > | mutableprotected |
| copulaType typedef | LatentModel< copulaPolicy > | |
| cumulativeY(Real val, Size iVariable) const | LatentModel< copulaPolicy > | |
| cumulativeZ(Real z) const | LatentModel< copulaPolicy > | |
| deepUpdate() | Observer | virtual |
| defaultCorrelation(const Date &d, Size iName, Size jName) const override | ConstantLossModel< copulaPolicy > | protectedvirtual |
| DefaultLatentModel(const std::vector< std::vector< Real > > &factorWeights, LatentModelIntegrationType::LatentModelIntegrationType integralType, const initTraits &ini=initTraits()) | DefaultLatentModel< copulaPolicy > | |
| DefaultLatentModel(const Handle< Quote > &mktCorrel, Size nVariables, LatentModelIntegrationType::LatentModelIntegrationType integralType, const initTraits &ini=initTraits()) | DefaultLatentModel< copulaPolicy > | |
| DefaultLossModel()=default | DefaultLossModel | protected |
| density(const std::vector< Real > &m) const | LatentModel< copulaPolicy > | |
| densityTrancheLoss(const Date &d, Real lossFraction) const | DefaultLossModel | protectedvirtual |
| expectedRecovery(const Date &d, Size iName, const DefaultProbKey &k) const override | ConstantLossModel< copulaPolicy > | protectedvirtual |
| expectedShortfall(const Date &d, Real percentile) const | DefaultLossModel | protectedvirtual |
| expectedTrancheLoss(const Date &d) const | DefaultLossModel | protectedvirtual |
| factorWeights() const | LatentModel< copulaPolicy > | |
| factorWeights_ | LatentModel< copulaPolicy > | mutableprotected |
| idiosyncFctrs() const | LatentModel< copulaPolicy > | |
| idiosyncFctrs_ | LatentModel< copulaPolicy > | mutableprotected |
| initTraits typedef | ConstantLossLatentmodel< copulaPolicy > | private |
| integratedExpectedValue(const ext::function< Real(const std::vector< Real > &v1)> &f) const | LatentModel< copulaPolicy > | |
| integratedExpectedValueV(const ext::function< std::vector< Real >(const std::vector< Real > &v1)> &f) const | LatentModel< copulaPolicy > | |
| integration() const override | DefaultLatentModel< copulaPolicy > | protectedvirtual |
| integration_ | DefaultLatentModel< copulaPolicy > | protected |
| inverseCumulativeDensity(Probability p, Size iFactor) const | LatentModel< copulaPolicy > | |
| inverseCumulativeY(Probability p, Size iVariable) const | LatentModel< copulaPolicy > | |
| inverseCumulativeZ(Probability p) const | LatentModel< copulaPolicy > | |
| QuantLib::iterator typedef | Observer | |
| LatentModel(const std::vector< std::vector< Real > > &factorsWeights, const typename copulaType::initTraits &ini=typename copulaType::initTraits()) | LatentModel< copulaPolicy > | explicit |
| LatentModel(const std::vector< Real > &factorsWeight, const typename copulaType::initTraits &ini=typename copulaType::initTraits()) | LatentModel< copulaPolicy > | explicit |
| LatentModel(Real correlSqr, Size nVariables, const typename copulaType::initTraits &ini=typename copulaType::initTraits()) | LatentModel< copulaPolicy > | explicit |
| LatentModel(const Handle< Quote > &singleFactorCorrel, Size nVariables, const typename copulaType::initTraits &ini=typename copulaType::initTraits()) | LatentModel< copulaPolicy > | explicit |
| latentVariableCorrel(Size iVar1, Size iVar2) const | LatentModel< copulaPolicy > | |
| latentVarValue(const std::vector< Real > &allFactors, Size iVar) const | LatentModel< copulaPolicy > | |
| lossDistribution(const Date &) const | DefaultLossModel | protectedvirtual |
| nFactors_ | LatentModel< copulaPolicy > | mutableprotected |
| QuantLib::notifyObservers() | Observable | |
| QuantLib::DefaultLossModel::notifyObservers() | Observable | |
| numFactors() const | LatentModel< copulaPolicy > | |
| numTotalFactors() const | LatentModel< copulaPolicy > | |
| nVariables_ | LatentModel< copulaPolicy > | mutableprotected |
| QuantLib::Observable() | Observable | |
| QuantLib::Observable(const Observable &) | Observable | |
| QuantLib::Observable(Observable &&)=delete | Observable | |
| QuantLib::DefaultLossModel::Observable() | Observable | |
| QuantLib::DefaultLossModel::Observable(const Observable &) | Observable | |
| QuantLib::DefaultLossModel::Observable(Observable &&)=delete | Observable | |
| observables_ | Observer | private |
| QuantLib::Observer()=default | Observer | |
| QuantLib::Observer(const Observer &) | Observer | |
| QuantLib::observers_ | Observable | private |
| QuantLib::operator=(const Observer &) | Observer | |
| QuantLib::Observable::operator=(const Observable &) | Observable | |
| QuantLib::Observable::operator=(Observable &&)=delete | Observable | |
| QuantLib::DefaultLossModel::operator=(const Observable &) | Observable | |
| QuantLib::DefaultLossModel::operator=(Observable &&)=delete | Observable | |
| percentile(const Date &d, Real percentile) const | DefaultLossModel | protectedvirtual |
| probAtLeastNEvents(Size n, const Date &d) const override | ConstantLossModel< copulaPolicy > | protectedvirtual |
| probOfDefault(Size iName, const Date &d) const | DefaultLatentModel< copulaPolicy > | |
| probOverLoss(const Date &d, Real lossFraction) const | DefaultLossModel | protectedvirtual |
| probsBeingNthEvent(Size n, const Date &d) const | DefaultLossModel | protectedvirtual |
| recoveries() const | ConstantLossLatentmodel< copulaPolicy > | |
| recoveries_ | ConstantLossLatentmodel< copulaPolicy > | private |
| QuantLib::registerObserver(Observer *) | Observable | private |
| registerWith(const ext::shared_ptr< Observable > &) | Observer | |
| registerWithObservables(const ext::shared_ptr< Observer > &) | Observer | |
| resetBasket(const ext::shared_ptr< Basket > &basket) const | DefaultLatentModel< copulaPolicy > | |
| resetModel() override | ConstantLossModel< copulaPolicy > | privatevirtual |
| QuantLib::set_type typedef | Observer | private |
| setBasket(Basket *bskt) | DefaultLossModel | private |
| size() const | LatentModel< copulaPolicy > | |
| splitESFLevel(const Date &d, Real loss) const | DefaultLossModel | protectedvirtual |
| splitVaRLevel(const Date &d, Real loss) const | DefaultLossModel | protectedvirtual |
| QuantLib::unregisterObserver(Observer *) | Observable | private |
| unregisterWith(const ext::shared_ptr< Observable > &) | Observer | |
| unregisterWithAll() | Observer | |
| update() override | DefaultLatentModel< copulaPolicy > | protectedvirtual |
| ~Observable()=default | Observable | virtual |
| ~Observer() | Observer | virtual |