QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Classes | Namespaces | Typedefs | Enumerations
latentmodel.hpp File Reference

Generic multifactor latent variable model. More...

#include <ql/experimental/math/multidimquadrature.hpp>
#include <ql/experimental/math/multidimintegrator.hpp>
#include <ql/math/integrals/trapezoidintegral.hpp>
#include <ql/math/randomnumbers/randomsequencegenerator.hpp>
#include <ql/experimental/math/gaussiancopulapolicy.hpp>
#include <ql/experimental/math/tcopulapolicy.hpp>
#include <ql/math/randomnumbers/boxmullergaussianrng.hpp>
#include <ql/experimental/math/polarstudenttrng.hpp>
#include <ql/handle.hpp>
#include <ql/quote.hpp>
#include <vector>

Go to the source code of this file.

Classes

struct  multiplyV
 
class  LMIntegration
 
class  IntegrationBase< I_T >
 
class  IntegrationBase< GaussianQuadMultidimIntegrator >
 
class  IntegrationBase< MultidimIntegral >
 
class  LatentModel< copulaPolicyImpl >
 Generic multifactor latent variable model. More...
 
class  LatentModel< copulaPolicyImpl >::FactorSampler< USNG, bool >
 
class  LatentModel< copulaPolicyImpl >::IntegrationFactory
 

Namespaces

namespace  QuantLib
 
namespace  QuantLib::detail
 
namespace  QuantLib::LatentModelIntegrationType
 

Typedefs

typedef enum QuantLib::LatentModelIntegrationType::LatentModelIntegrationType LatentModelIntegrationType
 

Enumerations

enum  LatentModelIntegrationType { GaussianQuadrature , Trapezoid }
 

Detailed Description

Generic multifactor latent variable model.

Definition in file latentmodel.hpp.