QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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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 } |
Generic multifactor latent variable model.
Definition in file latentmodel.hpp.