QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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#include <catrisk.hpp>
Public Member Functions | |
BetaRiskSimulation (Date start, Date end, Real maxLoss, Real lambda, Real alpha, Real beta) | |
bool | nextPath (std::vector< std::pair< Date, Real > > &path) override |
Real | generateBeta () |
Public Member Functions inherited from CatSimulation | |
CatSimulation (Date start, Date end) | |
virtual | ~CatSimulation ()=default |
virtual bool | nextPath (std::vector< std::pair< Date, Real > > &path)=0 |
Private Attributes | |
Real | maxLoss_ |
Integer | dayCount_ |
Real | yearFraction_ |
std::mt19937 | rng_ |
std::exponential_distribution< Real > | exponential_ |
std::gamma_distribution< Real > | gammaAlpha_ |
std::gamma_distribution< Real > | gammaBeta_ |
Additional Inherited Members | |
Protected Attributes inherited from CatSimulation | |
Date | start_ |
Date | end_ |
Definition at line 90 of file catrisk.hpp.
Implements CatSimulation.
Definition at line 99 of file catrisk.cpp.
Real generateBeta | ( | ) |
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private |
Definition at line 103 of file catrisk.hpp.
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Definition at line 105 of file catrisk.hpp.
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Definition at line 106 of file catrisk.hpp.
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Definition at line 108 of file catrisk.hpp.
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Definition at line 109 of file catrisk.hpp.
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Definition at line 110 of file catrisk.hpp.
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Definition at line 111 of file catrisk.hpp.