SaddlePointLossModel< CP >::SaddleObjectiveFunction Class Reference

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

Collaboration diagram for SaddlePointLossModel< CP >::SaddleObjectiveFunction:

Public Member Functions
	SaddleObjectiveFunction (const SaddlePointLossModel &me, const Real target, const std::vector< Real > &invUncondProbs, const std::vector< Real > &mktFactor)
	The passed target is in fractional loss units. More...
Real	operator() (const Real x) const
Real	derivative (Real x) const

Private Attributes
const SaddlePointLossModel &	me_
Real	targetValue_
const std::vector< Real > &	mktFactor_
const std::vector< Real > &	invUncondProbs_

Detailed Description

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

Definition at line 177 of file saddlepointlossmodel.hpp.

Constructor & Destructor Documentation

SaddleObjectiveFunction()

SaddleObjectiveFunction	(	const SaddlePointLossModel &	me,
		const Real	target,
		const std::vector< Real > &	invUncondProbs,
		const std::vector< Real > &	mktFactor
	)

The passed target is in fractional loss units.

Definition at line 184 of file saddlepointlossmodel.hpp.

Member Function Documentation

operator()()

Real operator()

(

const Real

x

)

const

Definition at line 194 of file saddlepointlossmodel.hpp.

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derivative()

Real derivative

(

Real

x

)

const

Definition at line 198 of file saddlepointlossmodel.hpp.

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Member Data Documentation

me_

const SaddlePointLossModel& me_

private

Definition at line 178 of file saddlepointlossmodel.hpp.

targetValue_

Real targetValue_

private

Definition at line 179 of file saddlepointlossmodel.hpp.

mktFactor_

const std::vector<Real>& mktFactor_

private

Definition at line 180 of file saddlepointlossmodel.hpp.

invUncondProbs_

const std::vector<Real>& invUncondProbs_

private

Definition at line 181 of file saddlepointlossmodel.hpp.