QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.6
BinomialLossModel< LLM > Member List

This is the complete list of members for BinomialLossModel< LLM >, including all inherited members.

attachAmount_ (defined in BinomialLossModel< LLM >)BinomialLossModel< LLM >mutableprotected
averageLoss(const Date &, const std::vector< Real > &reminingNots, const std::vector< Real > &) const BinomialLossModel< LLM >protected
basket_ (defined in DefaultLossModel)DefaultLossModelmutableprotected
BinomialLossModel(const boost::shared_ptr< LLM > &copula) (defined in BinomialLossModel< LLM >)BinomialLossModel< LLM >
condTrancheLoss(const Date &, const std::vector< Real > &lossVals, const std::vector< Real > &bsktNots, const std::vector< Probability > &uncondDefProbs, const std::vector< Real > &) const (defined in BinomialLossModel< LLM >)BinomialLossModel< LLM >protected
copula_ (defined in BinomialLossModel< LLM >)BinomialLossModel< LLM >protected
copulaType typedef (defined in BinomialLossModel< LLM >)BinomialLossModel< LLM >
defaultCorrelation(const Date &d, Size iName, Size jName) const DefaultLossModelprotectedvirtual
DefaultLossModel() (defined in DefaultLossModel)DefaultLossModelprotected
densityTrancheLoss(const Date &d, Real lossFraction) const DefaultLossModelprotectedvirtual
detachAmount_ (defined in BinomialLossModel< LLM >)BinomialLossModel< LLM >mutableprotected
expConditionalLgd(const Date &d, const std::vector< Real > &mktFactors) const (defined in BinomialLossModel< LLM >)BinomialLossModel< LLM >protected
expectedDistribution(const Date &date) const BinomialLossModel< LLM >protected
expectedRecovery(const Date &, Size iName, const DefaultProbKey &) const DefaultLossModelprotectedvirtual
expectedShortfall(const Date &d, Real percentile) const BinomialLossModel< LLM >protectedvirtual
expectedTrancheLoss(const Date &d) const (defined in BinomialLossModel< LLM >)BinomialLossModel< LLM >protectedvirtual
lossDistribution(const Date &d) const BinomialLossModel< LLM >protectedvirtual
lossPoints(const Date &) const BinomialLossModel< LLM >protected
lossProbability(const Date &date, const std::vector< Real > &bsktNots, const std::vector< Real > &uncondDefProbInv, const std::vector< Real > &mktFactor) const BinomialLossModel< LLM >protected
notifyObservers()Observable
Observable() (defined in Observable)Observable
Observable(const Observable &) (defined in Observable)Observable
operator=(const Observable &)Observable
percentile(const Date &d, Real percentile) const BinomialLossModel< LLM >protectedvirtual
probAtLeastNEvents(Size n, const Date &d) const DefaultLossModelprotectedvirtual
probOverLoss(const Date &d, Real lossFraction) const DefaultLossModelprotectedvirtual
probsBeingNthEvent(Size n, const Date &d) const DefaultLossModelprotectedvirtual
splitESFLevel(const Date &d, Real loss) const DefaultLossModelprotectedvirtual
splitVaRLevel(const Date &d, Real loss) const DefaultLossModelprotectedvirtual
~Observable() (defined in Observable)Observablevirtual