QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.8
CreditRiskPlus Member List

This is the complete list of members for CreditRiskPlus, including all inherited members.

CreditRiskPlus(const std::vector< Real > &exposure, const std::vector< Real > &defaultProbability, const std::vector< Size > &sector, const std::vector< Real > &relativeDefaultVariance, const Matrix &correlation, const Real unit) (defined in CreditRiskPlus)CreditRiskPlus
expectedLoss() const (defined in CreditRiskPlus)CreditRiskPlus
exposure() (defined in CreditRiskPlus)CreditRiskPlus
loss() (defined in CreditRiskPlus)CreditRiskPlus
lossQuantile(const Real p) (defined in CreditRiskPlus)CreditRiskPlus
marginalLoss() (defined in CreditRiskPlus)CreditRiskPlus
relativeDefaultVariance() (defined in CreditRiskPlus)CreditRiskPlus
sectorExpectedLoss() const (defined in CreditRiskPlus)CreditRiskPlus
sectorExposures() const (defined in CreditRiskPlus)CreditRiskPlus
sectorUnexpectedLoss() const (defined in CreditRiskPlus)CreditRiskPlus
unexpectedLoss() (defined in CreditRiskPlus)CreditRiskPlus