QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.12
SaddlePointLossModel< CP > Member List

This is the complete list of members for SaddlePointLossModel< CP >, including all inherited members.

attachRatio_ (defined in SaddlePointLossModel< CP >)SaddlePointLossModel< CP >mutableprotected
basket_ (defined in DefaultLossModel)DefaultLossModelmutableprotected
conditionalExpectedLoss(const std::vector< Real > &invUncondProbs, const std::vector< Real > &mktFactor) const (defined in SaddlePointLossModel< CP >)SaddlePointLossModel< CP >protected
conditionalExpectedTrancheLoss(const std::vector< Real > &invUncondProbs, const std::vector< Real > &mktFactor) const (defined in SaddlePointLossModel< CP >)SaddlePointLossModel< CP >protected
copula_ (defined in SaddlePointLossModel< CP >)SaddlePointLossModel< CP >protected
CumGen0234DerivCond(const std::vector< Real > &invUncondProbs, Real saddle, const std::vector< Real > &mktFactor) constSaddlePointLossModel< CP >protected
CumGen02DerivCond(const std::vector< Real > &invUncondProbs, Real saddle, const std::vector< Real > &mktFactor) constSaddlePointLossModel< CP >protected
CumGen1stDerivative(const Date &date, Real s) const (defined in SaddlePointLossModel< CP >)SaddlePointLossModel< CP >protected
CumGen1stDerivativeCond(const std::vector< Real > &invUncondProbs, Real saddle, const std::vector< Real > &mktFactor) constSaddlePointLossModel< CP >protected
CumGen2ndDerivative(const Date &date, Real s) const (defined in SaddlePointLossModel< CP >)SaddlePointLossModel< CP >protected
CumGen2ndDerivativeCond(const std::vector< Real > &invUncondProbs, Real saddle, const std::vector< Real > &mktFactor) constSaddlePointLossModel< CP >protected
CumGen3rdDerivative(const Date &date, Real s) const (defined in SaddlePointLossModel< CP >)SaddlePointLossModel< CP >protected
CumGen3rdDerivativeCond(const std::vector< Real > &invUncondProbs, Real saddle, const std::vector< Real > &mktFactor) const (defined in SaddlePointLossModel< CP >)SaddlePointLossModel< CP >protected
CumGen4thDerivative(const Date &date, Real s) const (defined in SaddlePointLossModel< CP >)SaddlePointLossModel< CP >protected
CumGen4thDerivativeCond(const std::vector< Real > &invUncondProbs, Real saddle, const std::vector< Real > &mktFactor) const (defined in SaddlePointLossModel< CP >)SaddlePointLossModel< CP >protected
CumulantGenerating(const Date &date, Real s) constSaddlePointLossModel< CP >protected
CumulantGeneratingCond(const std::vector< Real > &invUncondProbs, Real lossFraction, const std::vector< Real > &mktFactor) constSaddlePointLossModel< CP >protected
defaultCorrelation(const Date &d, Size iName, Size jName) constDefaultLossModelprotectedvirtual
DefaultLossModel() (defined in DefaultLossModel)DefaultLossModelprotected
densityTrancheLoss(const Date &d, Real lossFraction) constDefaultLossModelprotectedvirtual
detachRatio_ (defined in SaddlePointLossModel< CP >)SaddlePointLossModel< CP >mutableprotected
expectedRecovery(const Date &, Size iName, const DefaultProbKey &) constDefaultLossModelprotectedvirtual
expectedShortfall(const Date &d, Probability percentile) constSaddlePointLossModel< CP >virtual
expectedShortfallFullPortfolioCond(const std::vector< Real > &invUncondProbs, Real lossPerc, const std::vector< Real > &mktFactor) const (defined in SaddlePointLossModel< CP >)SaddlePointLossModel< CP >protected
expectedShortfallSplitCond(const std::vector< Real > &invUncondProbs, Real lossPerc, const std::vector< Real > &mktFactor) const (defined in SaddlePointLossModel< CP >)SaddlePointLossModel< CP >protected
expectedShortfallTrancheCond(const std::vector< Real > &invUncondProbs, Real lossPerc, Probability percentile, const std::vector< Real > &mktFactor) const (defined in SaddlePointLossModel< CP >)SaddlePointLossModel< CP >protected
expectedTrancheLoss(const Date &d) const (defined in SaddlePointLossModel< CP >)SaddlePointLossModel< CP >virtual
findSaddle(const std::vector< Real > &invUncondProbs, Real lossLevel, const std::vector< Real > &mktFactor, Real accuracy=1.0e-3, Natural maxEvaluations=50) constSaddlePointLossModel< CP >protected
lossDistribution(const Date &d) constSaddlePointLossModel< CP >virtual
notifyObservers()Observable
Observable() (defined in Observable)Observable
Observable(const Observable &) (defined in Observable)Observable
operator=(const Observable &)Observable
percentile(const Date &d, Probability percentile) constSaddlePointLossModel< CP >virtual
probAtLeastNEvents(Size n, const Date &d) constDefaultLossModelprotectedvirtual
probDensity(const Date &d, Real loss) const (defined in SaddlePointLossModel< CP >)SaddlePointLossModel< CP >
probDensityCond(const std::vector< Real > &invUncondProbs, Real loss, const std::vector< Real > &mktFactor) constSaddlePointLossModel< CP >protected
probOverLoss(const Date &d, Real trancheLossFract) constSaddlePointLossModel< CP >virtual
probOverLossCond(const std::vector< Real > &invUncondProbs, Real trancheLossFract, const std::vector< Real > &mktFactor) constSaddlePointLossModel< CP >protected
probOverLossPortfCond(const std::vector< Real > &invUncondProbs, Real loss, const std::vector< Real > &mktFactor) constSaddlePointLossModel< CP >protected
probOverLossPortfCond1stOrder(const std::vector< Real > &invUncondProbs, Real loss, const std::vector< Real > &mktFactor) const (defined in SaddlePointLossModel< CP >)SaddlePointLossModel< CP >protected
probOverPortfLoss(const Date &d, Real loss) const (defined in SaddlePointLossModel< CP >)SaddlePointLossModel< CP >
probsBeingNthEvent(Size n, const Date &d) constDefaultLossModelprotectedvirtual
remainingNotional_ (defined in SaddlePointLossModel< CP >)SaddlePointLossModel< CP >mutableprotected
remainingNotionals_ (defined in SaddlePointLossModel< CP >)SaddlePointLossModel< CP >mutableprotected
remainingSize_ (defined in SaddlePointLossModel< CP >)SaddlePointLossModel< CP >mutableprotected
resetModel()SaddlePointLossModel< CP >protectedvirtual
SaddlePointLossModel(const boost::shared_ptr< ConstantLossLatentmodel< CP > > &m) (defined in SaddlePointLossModel< CP >)SaddlePointLossModel< CP >explicit
splitESFLevel(const Date &d, Real loss) constDefaultLossModelprotectedvirtual
splitLossCond(const std::vector< Real > &invUncondProbs, Real loss, std::vector< Real > mktFactor) const (defined in SaddlePointLossModel< CP >)SaddlePointLossModel< CP >protected
splitVaRLevel(const Date &date, Real loss) constSaddlePointLossModel< CP >virtual
~Observable() (defined in Observable)Observablevirtual