SaddlePointLossModel< CP >::SaddlePercObjFunction Class Reference

#include <ql/experimental/credit/saddlepointlossmodel.hpp>

Collaboration diagram for SaddlePointLossModel< CP >::SaddlePercObjFunction:

Public Member Functions
	SaddlePercObjFunction (const SaddlePointLossModel &me, const Real target, const Date &date)
Real	operator() (const Real x) const

Private Attributes
const SaddlePointLossModel &	me_
Real	targetValue_
Date	date_

Detailed Description

template<class CP>
class QuantLib::SaddlePointLossModel< CP >::SaddlePercObjFunction

Definition at line 226 of file saddlepointlossmodel.hpp.

Constructor & Destructor Documentation

SaddlePercObjFunction()

SaddlePercObjFunction	(	const SaddlePointLossModel &	me,
		const Real	target,
		const Date &	date
	)

Definition at line 231 of file saddlepointlossmodel.hpp.

Member Function Documentation

operator()()

Real operator()

(

const Real

x

)

const

The passed x is the tranche loss fraction

Definition at line 237 of file saddlepointlossmodel.hpp.

Here is the call graph for this function:

Member Data Documentation

me_

const SaddlePointLossModel& me_

private

Definition at line 227 of file saddlepointlossmodel.hpp.

targetValue_

Real targetValue_

private

Definition at line 228 of file saddlepointlossmodel.hpp.

date_

Date date_

private

Definition at line 229 of file saddlepointlossmodel.hpp.