#include <ql/experimental/risk/creditriskplus.hpp>
Public Member Functions | |
CreditRiskPlus (const std::vector< Real > &exposure, const std::vector< Real > &defaultProbability, const std::vector< Size > §or, const std::vector< Real > &relativeDefaultVariance, const Matrix &correlation, Real unit) | |
const std::vector< Real > & | loss () |
const std::vector< Real > & | marginalLoss () |
Real | exposure () const |
Real | expectedLoss () const |
Real | unexpectedLoss () const |
Real | relativeDefaultVariance () const |
const std::vector< Real > & | sectorExposures () const |
const std::vector< Real > & | sectorExpectedLoss () const |
const std::vector< Real > & | sectorUnexpectedLoss () const |
Real | lossQuantile (Real p) |
Extended CreditRisk+ model as described in [1] Integrating Correlations, Risk, July 1999 and the references therein.