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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 SaddlePointLossModel< CP >, including all inherited members.
| attachRatio_ | SaddlePointLossModel< CP > | mutableprotected |
| basket_ | DefaultLossModel | mutableprotected |
| conditionalExpectedLoss(const std::vector< Real > &invUncondProbs, const std::vector< Real > &mktFactor) const | SaddlePointLossModel< CP > | protected |
| conditionalExpectedTrancheLoss(const std::vector< Real > &invUncondProbs, const std::vector< Real > &mktFactor) const | SaddlePointLossModel< CP > | protected |
| copula_ | SaddlePointLossModel< CP > | protected |
| CumGen0234DerivCond(const std::vector< Real > &invUncondProbs, Real saddle, const std::vector< Real > &mktFactor) const | SaddlePointLossModel< CP > | protected |
| CumGen02DerivCond(const std::vector< Real > &invUncondProbs, Real saddle, const std::vector< Real > &mktFactor) const | SaddlePointLossModel< CP > | protected |
| CumGen1stDerivative(const Date &date, Real s) const | SaddlePointLossModel< CP > | protected |
| CumGen1stDerivativeCond(const std::vector< Real > &invUncondProbs, Real saddle, const std::vector< Real > &mktFactor) const | SaddlePointLossModel< CP > | protected |
| CumGen2ndDerivative(const Date &date, Real s) const | SaddlePointLossModel< CP > | protected |
| CumGen2ndDerivativeCond(const std::vector< Real > &invUncondProbs, Real saddle, const std::vector< Real > &mktFactor) const | SaddlePointLossModel< CP > | protected |
| CumGen3rdDerivative(const Date &date, Real s) const | SaddlePointLossModel< CP > | protected |
| CumGen3rdDerivativeCond(const std::vector< Real > &invUncondProbs, Real saddle, const std::vector< Real > &mktFactor) const | SaddlePointLossModel< CP > | protected |
| CumGen4thDerivative(const Date &date, Real s) const | SaddlePointLossModel< CP > | protected |
| CumGen4thDerivativeCond(const std::vector< Real > &invUncondProbs, Real saddle, const std::vector< Real > &mktFactor) const | SaddlePointLossModel< CP > | protected |
| CumulantGenerating(const Date &date, Real s) const | SaddlePointLossModel< CP > | protected |
| CumulantGeneratingCond(const std::vector< Real > &invUncondProbs, Real lossFraction, const std::vector< Real > &mktFactor) const | SaddlePointLossModel< CP > | protected |
| defaultCorrelation(const Date &d, Size iName, Size jName) const | DefaultLossModel | protectedvirtual |
| DefaultLossModel()=default | DefaultLossModel | protected |
| densityTrancheLoss(const Date &d, Real lossFraction) const | DefaultLossModel | protectedvirtual |
| detachRatio_ | SaddlePointLossModel< CP > | protected |
| expectedRecovery(const Date &, Size iName, const DefaultProbKey &) const | DefaultLossModel | protectedvirtual |
| expectedShortfall(const Date &d, Probability percentile) const override | SaddlePointLossModel< CP > | virtual |
| expectedShortfallFullPortfolioCond(const std::vector< Real > &invUncondProbs, Real lossPerc, const std::vector< Real > &mktFactor) const | SaddlePointLossModel< CP > | protected |
| expectedShortfallSplitCond(const std::vector< Real > &invUncondProbs, Real lossPerc, const std::vector< Real > &mktFactor) const | SaddlePointLossModel< CP > | protected |
| expectedShortfallTrancheCond(const std::vector< Real > &invUncondProbs, Real lossPerc, Probability percentile, const std::vector< Real > &mktFactor) const | SaddlePointLossModel< CP > | protected |
| expectedTrancheLoss(const Date &d) const override | SaddlePointLossModel< CP > | virtual |
| findSaddle(const std::vector< Real > &invUncondProbs, Real lossLevel, const std::vector< Real > &mktFactor, Real accuracy=1.0e-3, Natural maxEvaluations=50) const | SaddlePointLossModel< CP > | protected |
| iterator typedef | Observable | private |
| lossDistribution(const Date &d) const override | SaddlePointLossModel< CP > | virtual |
| notifyObservers() | Observable | |
| Observable() | Observable | |
| Observable(const Observable &) | Observable | |
| Observable(Observable &&)=delete | Observable | |
| observers_ | Observable | private |
| operator=(const Observable &) | Observable | |
| operator=(Observable &&)=delete | Observable | |
| percentile(const Date &d, Probability percentile) const override | SaddlePointLossModel< CP > | virtual |
| probAtLeastNEvents(Size n, const Date &d) const | DefaultLossModel | protectedvirtual |
| probDensity(const Date &d, Real loss) const | SaddlePointLossModel< CP > | |
| probDensityCond(const std::vector< Real > &invUncondProbs, Real loss, const std::vector< Real > &mktFactor) const | SaddlePointLossModel< CP > | protected |
| probOverLoss(const Date &d, Real trancheLossFract) const override | SaddlePointLossModel< CP > | virtual |
| probOverLossCond(const std::vector< Real > &invUncondProbs, Real trancheLossFract, const std::vector< Real > &mktFactor) const | SaddlePointLossModel< CP > | protected |
| probOverLossPortfCond(const std::vector< Real > &invUncondProbs, Real loss, const std::vector< Real > &mktFactor) const | SaddlePointLossModel< CP > | protected |
| probOverLossPortfCond1stOrder(const std::vector< Real > &invUncondProbs, Real loss, const std::vector< Real > &mktFactor) const | SaddlePointLossModel< CP > | protected |
| probOverPortfLoss(const Date &d, Real loss) const | SaddlePointLossModel< CP > | |
| probsBeingNthEvent(Size n, const Date &d) const | DefaultLossModel | protectedvirtual |
| registerObserver(Observer *) | Observable | private |
| remainingNotional_ | SaddlePointLossModel< CP > | mutableprotected |
| remainingNotionals_ | SaddlePointLossModel< CP > | mutableprotected |
| remainingSize_ | SaddlePointLossModel< CP > | mutableprotected |
| resetModel() override | SaddlePointLossModel< CP > | protectedvirtual |
| SaddlePointLossModel(const ext::shared_ptr< ConstantLossLatentmodel< CP > > &m) | SaddlePointLossModel< CP > | explicit |
| set_type typedef | Observable | private |
| setBasket(Basket *bskt) | DefaultLossModel | private |
| splitESFLevel(const Date &d, Real loss) const | DefaultLossModel | protectedvirtual |
| splitLossCond(const std::vector< Real > &invUncondProbs, Real loss, std::vector< Real > mktFactor) const | SaddlePointLossModel< CP > | protected |
| splitVaRLevel(const Date &date, Real loss) const override | SaddlePointLossModel< CP > | virtual |
| unregisterObserver(Observer *) | Observable | private |
| ~Observable()=default | Observable | virtual |