QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.8
ConstantLossLatentmodel< copulaPolicy > Member List

This is the complete list of members for ConstantLossLatentmodel< copulaPolicy >, including all inherited members.

allFactorCumulInverter(const std::vector< Real > &probs) constLatentModel< copulaPolicy >
basket_ (defined in DefaultLatentModel< copulaPolicy >)DefaultLatentModel< copulaPolicy >mutableprotected
cachedMktFactor_ (defined in LatentModel< copulaPolicy >)LatentModel< copulaPolicy >mutableprotected
conditionalDefaultProbability(Probability prob, Size iName, const std::vector< Real > &mktFactors) const DefaultLatentModel< copulaPolicy >
conditionalDefaultProbability(const Date &date, Size iName, const std::vector< Real > &mktFactors) const DefaultLatentModel< copulaPolicy >protected
conditionalDefaultProbabilityInvP(Real invCumYProb, Size iName, const std::vector< Real > &m) const DefaultLatentModel< copulaPolicy >
conditionalProbAtLeastNEvents(Size n, const Date &date, const std::vector< Real > &mktFactors) const DefaultLatentModel< copulaPolicy >protected
conditionalRecovery(const Date &d, Size iName, const std::vector< Real > &mktFactors) const (defined in ConstantLossLatentmodel< copulaPolicy >)ConstantLossLatentmodel< copulaPolicy >
conditionalRecovery(Probability uncondDefP, Size iName, const std::vector< Real > &mktFactors) const (defined in ConstantLossLatentmodel< copulaPolicy >)ConstantLossLatentmodel< copulaPolicy >
conditionalRecovery(Real latentVarSample, Size iName, const Date &d) const (defined in ConstantLossLatentmodel< copulaPolicy >)ConstantLossLatentmodel< copulaPolicy >
conditionalRecoveryInvP(Real invUncondDefP, Size iName, const std::vector< Real > &mktFactors) const (defined in ConstantLossLatentmodel< copulaPolicy >)ConstantLossLatentmodel< copulaPolicy >
condProbProduct(Real invCumYProb1, Real invCumYProb2, Size iName1, Size iName2, const std::vector< Real > &mktFactors) const DefaultLatentModel< copulaPolicy >protected
ConstantLossLatentmodel(const std::vector< std::vector< Real > > &factorWeights, const std::vector< Real > &recoveries, LatentModelIntegrationType::LatentModelIntegrationType integralType, const initTraits &ini=initTraits()) (defined in ConstantLossLatentmodel< copulaPolicy >)ConstantLossLatentmodel< copulaPolicy >
ConstantLossLatentmodel(const Handle< Quote > &mktCorrel, const std::vector< Real > &recoveries, LatentModelIntegrationType::LatentModelIntegrationType integralType, Size nVariables, const initTraits &ini=initTraits()) (defined in ConstantLossLatentmodel< copulaPolicy >)ConstantLossLatentmodel< copulaPolicy >
copula() const (defined in LatentModel< copulaPolicy >)LatentModel< copulaPolicy >
copula_ (defined in LatentModel< copulaPolicy >)LatentModel< copulaPolicy >mutableprotected
copulaType typedef (defined in LatentModel< copulaPolicy >)LatentModel< copulaPolicy >
cumulativeY(Real val, Size iVariable) constLatentModel< copulaPolicy >
cumulativeZ(Real z) constLatentModel< copulaPolicy >
defaultCorrelation(const Date &d, Size iNamei, Size iNamej) const DefaultLatentModel< copulaPolicy >
DefaultLatentModel(const std::vector< std::vector< Real > > &factorWeights, LatentModelIntegrationType::LatentModelIntegrationType integralType, const initTraits &ini=initTraits())DefaultLatentModel< copulaPolicy >
DefaultLatentModel(const Handle< Quote > &mktCorrel, Size nVariables, LatentModelIntegrationType::LatentModelIntegrationType integralType, const initTraits &ini=initTraits()) (defined in DefaultLatentModel< copulaPolicy >)DefaultLatentModel< copulaPolicy >
density(const std::vector< Real > &m) constLatentModel< copulaPolicy >
expectedRecovery(const Date &d, Size iName, const DefaultProbKey &defKeys) const (defined in ConstantLossLatentmodel< copulaPolicy >)ConstantLossLatentmodel< copulaPolicy >
factorWeights() constLatentModel< copulaPolicy >
factorWeights_ (defined in LatentModel< copulaPolicy >)LatentModel< copulaPolicy >mutableprotected
idiosyncFctrs() constLatentModel< copulaPolicy >
idiosyncFctrs_ (defined in LatentModel< copulaPolicy >)LatentModel< copulaPolicy >mutableprotected
integratedExpectedValue(const boost::function< Real(const std::vector< Real > &v1)> &f) constLatentModel< copulaPolicy >
integratedExpectedValue(const boost::function< Disposable< std::vector< Real > >(const std::vector< Real > &v1)> &f) constLatentModel< copulaPolicy >
integration() const DefaultLatentModel< copulaPolicy >protectedvirtual
integration_ (defined in DefaultLatentModel< copulaPolicy >)DefaultLatentModel< copulaPolicy >protected
inverseCumulativeDensity(Probability p, Size iFactor) constLatentModel< copulaPolicy >
inverseCumulativeY(Probability p, Size iVariable) constLatentModel< copulaPolicy >
inverseCumulativeZ(Probability p) constLatentModel< copulaPolicy >
iterator typedef (defined in Observer)Observer
LatentModel(const std::vector< std::vector< Real > > &factorsWeights, const typename copulaType::initTraits &ini=copulaType::initTraits())LatentModel< copulaPolicy >explicit
LatentModel(const std::vector< Real > &factorsWeight, const typename copulaType::initTraits &ini=copulaType::initTraits())LatentModel< copulaPolicy >explicit
LatentModel(const Real correlSqr, Size nVariables, const typename copulaType::initTraits &ini=copulaType::initTraits())LatentModel< copulaPolicy >explicit
LatentModel(const Handle< Quote > &singleFactorCorrel, Size nVariables, const typename copulaType::initTraits &ini=copulaType::initTraits())LatentModel< copulaPolicy >explicit
latentVariableCorrel(Size iVar1, Size iVar2) constLatentModel< copulaPolicy >
latentVarValue(const std::vector< Real > &allFactors, Size iVar) constLatentModel< copulaPolicy >
nFactors_LatentModel< copulaPolicy >mutableprotected
notifyObservers()Observable
numFactors() constLatentModel< copulaPolicy >
numTotalFactors() constLatentModel< copulaPolicy >
nVariables_LatentModel< copulaPolicy >mutableprotected
Observable() (defined in Observable)Observable
Observable(const Observable &) (defined in Observable)Observable
Observer() (defined in Observer)Observer
Observer(const Observer &) (defined in Observer)Observer
operator=(const Observer &) (defined in Observer)Observer
QuantLib::Observable::operator=(const Observable &)Observable
probAtLeastNEvents(Size n, const Date &date) const DefaultLatentModel< copulaPolicy >
probOfDefault(Size iName, const Date &d) const DefaultLatentModel< copulaPolicy >
recoveries() const (defined in ConstantLossLatentmodel< copulaPolicy >)ConstantLossLatentmodel< copulaPolicy >
registerWith(const boost::shared_ptr< Observable > &) (defined in Observer)Observer
registerWithObservables(const boost::shared_ptr< Observer > &)Observer
resetBasket(const boost::shared_ptr< Basket > basket) const (defined in DefaultLatentModel< copulaPolicy >)DefaultLatentModel< copulaPolicy >
set_type typedef (defined in Observer)Observer
size() const (defined in LatentModel< copulaPolicy >)LatentModel< copulaPolicy >
unregisterWith(const boost::shared_ptr< Observable > &) (defined in Observer)Observer
unregisterWithAll() (defined in Observer)Observer
update()DefaultLatentModel< copulaPolicy >protectedvirtual
~Observable() (defined in Observable)Observablevirtual
~Observer() (defined in Observer)Observervirtual