QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.20
HomogeneousPoolLossModel< copulaPolicy > Member List

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

attach_ (defined in HomogeneousPoolLossModel< copulaPolicy >)HomogeneousPoolLossModel< copulaPolicy >mutableprotected
attachAmount_ (defined in HomogeneousPoolLossModel< copulaPolicy >)HomogeneousPoolLossModel< copulaPolicy >protected
basket_ (defined in DefaultLossModel)DefaultLossModelmutableprotected
copula_ (defined in HomogeneousPoolLossModel< copulaPolicy >)HomogeneousPoolLossModel< copulaPolicy >protected
defaultCorrelation(const Date &d, Size iName, Size jName) constDefaultLossModelprotectedvirtual
DefaultLossModel() (defined in DefaultLossModel)DefaultLossModelprotected
densityTrancheLoss(const Date &d, Real lossFraction) constDefaultLossModelprotectedvirtual
detach_ (defined in HomogeneousPoolLossModel< copulaPolicy >)HomogeneousPoolLossModel< copulaPolicy >protected
detachAmount_ (defined in HomogeneousPoolLossModel< copulaPolicy >)HomogeneousPoolLossModel< copulaPolicy >protected
expectedRecovery(const Date &, Size iName, const DefaultProbKey &) constDefaultLossModelprotectedvirtual
expectedShortfall(const Date &d, Probability percentile) constHomogeneousPoolLossModel< copulaPolicy >virtual
expectedTrancheLoss(const Date &d) const (defined in HomogeneousPoolLossModel< copulaPolicy >)HomogeneousPoolLossModel< copulaPolicy >virtual
HomogeneousPoolLossModel(const ext::shared_ptr< ConstantLossLatentmodel< copulaPolicy > > &copula, Size nBuckets, Real max=5., Real min=-5., Real nSteps=50) (defined in HomogeneousPoolLossModel< copulaPolicy >)HomogeneousPoolLossModel< copulaPolicy >
lossDistrib(const Date &d) const (defined in HomogeneousPoolLossModel< copulaPolicy >)HomogeneousPoolLossModel< copulaPolicy >protected
lossDistribution(const Date &) constDefaultLossModelprotectedvirtual
nBuckets_ (defined in HomogeneousPoolLossModel< copulaPolicy >)HomogeneousPoolLossModel< copulaPolicy >protected
notifyObservers()Observable
notional_ (defined in HomogeneousPoolLossModel< copulaPolicy >)HomogeneousPoolLossModel< copulaPolicy >protected
notionals_ (defined in HomogeneousPoolLossModel< copulaPolicy >)HomogeneousPoolLossModel< copulaPolicy >mutableprotected
Observable() (defined in Observable)Observable
Observable(const Observable &) (defined in Observable)Observable
operator=(const Observable &)Observable
percentile(const Date &d, Real percentile) constHomogeneousPoolLossModel< copulaPolicy >virtual
probAtLeastNEvents(Size n, const Date &d) constDefaultLossModelprotectedvirtual
probOverLoss(const Date &d, Real lossFraction) constDefaultLossModelprotectedvirtual
probsBeingNthEvent(Size n, const Date &d) constDefaultLossModelprotectedvirtual
splitESFLevel(const Date &d, Real loss) constDefaultLossModelprotectedvirtual
splitVaRLevel(const Date &d, Real loss) constDefaultLossModelprotectedvirtual
~Observable() (defined in Observable)Observablevirtual