QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
|
#include <catrisk.hpp>
Public Member Functions | |
BetaRisk (Real maxLoss, Real years, Real mean, Real stdDev) | |
ext::shared_ptr< CatSimulation > | newSimulation (const Date &start, const Date &end) const override |
Public Member Functions inherited from CatRisk | |
virtual | ~CatRisk ()=default |
virtual ext::shared_ptr< CatSimulation > | newSimulation (const Date &start, const Date &end) const =0 |
Private Attributes | |
Real | maxLoss_ |
Real | lambda_ |
Real | alpha_ |
Real | beta_ |
Definition at line 114 of file catrisk.hpp.
Definition at line 118 of file catrisk.cpp.
|
overridevirtual |
Implements CatRisk.
Definition at line 132 of file catrisk.cpp.
|
private |
Definition at line 125 of file catrisk.hpp.
|
private |
Definition at line 126 of file catrisk.hpp.
|
private |
Definition at line 127 of file catrisk.hpp.
|
private |
Definition at line 128 of file catrisk.hpp.