This is the complete list of members for GaussianLHPLossModel, including all inherited members.
allFactorCumulInverter(const std::vector< Real > &probs) const | LatentModel< GaussianCopulaPolicy > | |
averageProb(const Date &d) const (defined in GaussianLHPLossModel) | GaussianLHPLossModel | |
averageRecovery(const Date &d) const (defined in GaussianLHPLossModel) | GaussianLHPLossModel | |
basket_ (defined in DefaultLossModel) | DefaultLossModel | mutableprotected |
cachedMktFactor_ (defined in LatentModel< GaussianCopulaPolicy >) | LatentModel< GaussianCopulaPolicy > | mutableprotected |
copula() const (defined in LatentModel< GaussianCopulaPolicy >) | LatentModel< GaussianCopulaPolicy > | |
copula_ (defined in LatentModel< GaussianCopulaPolicy >) | LatentModel< GaussianCopulaPolicy > | mutableprotected |
copulaType typedef (defined in GaussianLHPLossModel) | GaussianLHPLossModel | |
cumulativeY(Real val, Size iVariable) const | LatentModel< GaussianCopulaPolicy > | |
cumulativeZ(Real z) const | LatentModel< GaussianCopulaPolicy > | |
defaultCorrelation(const Date &d, Size iName, Size jName) const | DefaultLossModel | protectedvirtual |
DefaultLossModel() (defined in DefaultLossModel) | DefaultLossModel | protected |
density(const std::vector< Real > &m) const | LatentModel< GaussianCopulaPolicy > | |
densityTrancheLoss(const Date &d, Real lossFraction) const | DefaultLossModel | protectedvirtual |
expectedRecovery(const Date &d, Size iName, const DefaultProbKey &ik) const | GaussianLHPLossModel | protectedvirtual |
expectedShortfall(const Date &d, Probability perctl) const | GaussianLHPLossModel | virtual |
expectedTrancheLoss(const Date &d) const (defined in GaussianLHPLossModel) | GaussianLHPLossModel | virtual |
factorWeights() const | LatentModel< GaussianCopulaPolicy > | |
factorWeights_ (defined in LatentModel< GaussianCopulaPolicy >) | LatentModel< GaussianCopulaPolicy > | mutableprotected |
GaussianLHPLossModel(const Handle< Quote > &correlQuote, const std::vector< Handle< RecoveryRateQuote > > "es) (defined in GaussianLHPLossModel) | GaussianLHPLossModel | |
GaussianLHPLossModel(Real correlation, const std::vector< Real > &recoveries) (defined in GaussianLHPLossModel) | GaussianLHPLossModel | |
GaussianLHPLossModel(const Handle< Quote > &correlQuote, const std::vector< Real > &recoveries) (defined in GaussianLHPLossModel) | GaussianLHPLossModel | |
idiosyncFctrs() const | LatentModel< GaussianCopulaPolicy > | |
idiosyncFctrs_ (defined in LatentModel< GaussianCopulaPolicy >) | LatentModel< GaussianCopulaPolicy > | mutableprotected |
integratedExpectedValue(const boost::function< Real(const std::vector< Real > &v1)> &f) const | LatentModel< GaussianCopulaPolicy > | |
integratedExpectedValue(const boost::function< Disposable< std::vector< Real > >(const std::vector< Real > &v1)> &f) const | LatentModel< GaussianCopulaPolicy > | |
integration() const (defined in LatentModel< GaussianCopulaPolicy >) | LatentModel< GaussianCopulaPolicy > | protectedvirtual |
inverseCumulativeDensity(Probability p, Size iFactor) const | LatentModel< GaussianCopulaPolicy > | |
inverseCumulativeY(Probability p, Size iVariable) const | LatentModel< GaussianCopulaPolicy > | |
inverseCumulativeZ(Probability p) const | LatentModel< GaussianCopulaPolicy > | |
LatentModel(const std::vector< std::vector< Real > > &factorsWeights, const typename copulaType::initTraits &ini=copulaType::initTraits()) | LatentModel< GaussianCopulaPolicy > | explicit |
LatentModel(const std::vector< Real > &factorsWeight, const typename copulaType::initTraits &ini=copulaType::initTraits()) | LatentModel< GaussianCopulaPolicy > | explicit |
LatentModel(const Real correlSqr, Size nVariables, const typename copulaType::initTraits &ini=copulaType::initTraits()) | LatentModel< GaussianCopulaPolicy > | explicit |
LatentModel(const Handle< Quote > &singleFactorCorrel, Size nVariables, const typename copulaType::initTraits &ini=copulaType::initTraits()) | LatentModel< GaussianCopulaPolicy > | explicit |
latentVariableCorrel(Size iVar1, Size iVar2) const | LatentModel< GaussianCopulaPolicy > | |
latentVarValue(const std::vector< Real > &allFactors, Size iVar) const | LatentModel< GaussianCopulaPolicy > | |
lossDistribution(const Date &) const | DefaultLossModel | protectedvirtual |
nFactors_ | LatentModel< GaussianCopulaPolicy > | mutableprotected |
QuantLib::notifyObservers() | Observable | |
LatentModel< GaussianCopulaPolicy >::notifyObservers() | Observable | |
numFactors() const | LatentModel< GaussianCopulaPolicy > | |
numTotalFactors() const | LatentModel< GaussianCopulaPolicy > | |
nVariables_ | LatentModel< GaussianCopulaPolicy > | mutableprotected |
Observable() (defined in Observable) | Observable | |
Observable(const Observable &) (defined in Observable) | Observable | |
Observable() (defined in Observable) | Observable | |
Observable(const Observable &) (defined in Observable) | Observable | |
Observer() (defined in Observer) | Observer | |
Observer(const Observer &) (defined in Observer) | Observer | |
QuantLib::operator=(const Observable &) | Observable | |
operator=(const Observer &) (defined in Observer) | Observer | |
LatentModel< GaussianCopulaPolicy >::QuantLib::Observable::operator=(const Observable &) | Observable | |
percentile(const Date &d, Real perctl) const | GaussianLHPLossModel | virtual |
percentilePortfolioLossFraction(const Date &d, Real perctl) const (defined in GaussianLHPLossModel) | GaussianLHPLossModel | protected |
probAtLeastNEvents(Size n, const Date &d) const | DefaultLossModel | protectedvirtual |
probOverLoss(const Date &d, Real remainingLossFraction) const | GaussianLHPLossModel | virtual |
probsBeingNthEvent(Size n, const Date &d) const | DefaultLossModel | protectedvirtual |
registerWith(const boost::shared_ptr< Observable > &) (defined in Observer) | Observer | |
registerWithObservables(const boost::shared_ptr< Observer > &) | Observer | |
size() const (defined in LatentModel< GaussianCopulaPolicy >) | LatentModel< GaussianCopulaPolicy > | |
splitESFLevel(const Date &d, Real loss) const | DefaultLossModel | protectedvirtual |
splitVaRLevel(const Date &d, Real loss) const | DefaultLossModel | protectedvirtual |
unregisterWith(const boost::shared_ptr< Observable > &) (defined in Observer) | Observer | |
unregisterWithAll() (defined in Observer) | Observer | |
update() | GaussianLHPLossModel | virtual |
~Observable() (defined in Observable) | Observable | virtual |
~Observer() (defined in Observer) | Observer | virtual |