QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Public Member Functions | Private Attributes | List of all members
BetaRisk Class Reference

#include <catrisk.hpp>

+ Inheritance diagram for BetaRisk:
+ Collaboration diagram for BetaRisk:

Public Member Functions

 BetaRisk (Real maxLoss, Real years, Real mean, Real stdDev)
 
ext::shared_ptr< CatSimulationnewSimulation (const Date &start, const Date &end) const override
 
- Public Member Functions inherited from CatRisk
virtual ~CatRisk ()=default
 
virtual ext::shared_ptr< CatSimulationnewSimulation (const Date &start, const Date &end) const =0
 

Private Attributes

Real maxLoss_
 
Real lambda_
 
Real alpha_
 
Real beta_
 

Detailed Description

Definition at line 114 of file catrisk.hpp.

Constructor & Destructor Documentation

◆ BetaRisk()

BetaRisk ( Real  maxLoss,
Real  years,
Real  mean,
Real  stdDev 
)

Definition at line 118 of file catrisk.cpp.

Member Function Documentation

◆ newSimulation()

ext::shared_ptr< CatSimulation > newSimulation ( const Date start,
const Date end 
) const
overridevirtual

Implements CatRisk.

Definition at line 132 of file catrisk.cpp.

Member Data Documentation

◆ maxLoss_

Real maxLoss_
private

Definition at line 125 of file catrisk.hpp.

◆ lambda_

Real lambda_
private

Definition at line 126 of file catrisk.hpp.

◆ alpha_

Real alpha_
private

Definition at line 127 of file catrisk.hpp.

◆ beta_

Real beta_
private

Definition at line 128 of file catrisk.hpp.