A free/open-source library for quantitative finance
Reference manual - version 1.20
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A free/open-source library for quantitative finance
Reference manual - version 1.20
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This is the complete list of members for DefaultLatentModel< copulaPolicy >, including all inherited members.
| allFactorCumulInverter(const std::vector< Real > &probs) const | LatentModel< copulaPolicy > | |
| basket_ (defined in DefaultLatentModel< copulaPolicy >) | DefaultLatentModel< copulaPolicy > | mutableprotected |
| cachedMktFactor_ (defined in LatentModel< copulaPolicy >) | LatentModel< copulaPolicy > | mutableprotected |
| conditionalDefaultProbability(Probability prob, Size iName, const std::vector< Real > &mktFactors) const | DefaultLatentModel< copulaPolicy > | |
| conditionalDefaultProbability(const Date &date, Size iName, const std::vector< Real > &mktFactors) const | DefaultLatentModel< copulaPolicy > | protected |
| conditionalDefaultProbabilityInvP(Real invCumYProb, Size iName, const std::vector< Real > &m) const | DefaultLatentModel< copulaPolicy > | |
| conditionalProbAtLeastNEvents(Size n, const Date &date, const std::vector< Real > &mktFactors) const | DefaultLatentModel< copulaPolicy > | protected |
| condProbProduct(Real invCumYProb1, Real invCumYProb2, Size iName1, Size iName2, const std::vector< Real > &mktFactors) const | DefaultLatentModel< copulaPolicy > | protected |
| copula() const (defined in LatentModel< copulaPolicy >) | LatentModel< copulaPolicy > | |
| copula_ (defined in LatentModel< copulaPolicy >) | LatentModel< copulaPolicy > | mutableprotected |
| copulaType typedef (defined in LatentModel< copulaPolicy >) | LatentModel< copulaPolicy > | |
| cumulativeY(Real val, Size iVariable) const | LatentModel< copulaPolicy > | |
| cumulativeZ(Real z) const | LatentModel< copulaPolicy > | |
| deepUpdate() | Observer | virtual |
| defaultCorrelation(const Date &d, Size iNamei, Size iNamej) const | DefaultLatentModel< copulaPolicy > | |
| DefaultLatentModel(const std::vector< std::vector< Real > > &factorWeights, LatentModelIntegrationType::LatentModelIntegrationType integralType, const initTraits &ini=initTraits()) | DefaultLatentModel< copulaPolicy > | |
| DefaultLatentModel(const Handle< Quote > &mktCorrel, Size nVariables, LatentModelIntegrationType::LatentModelIntegrationType integralType, const initTraits &ini=initTraits()) (defined in DefaultLatentModel< copulaPolicy >) | DefaultLatentModel< copulaPolicy > | |
| density(const std::vector< Real > &m) const | LatentModel< copulaPolicy > | |
| factorWeights() const | LatentModel< copulaPolicy > | |
| factorWeights_ (defined in LatentModel< copulaPolicy >) | LatentModel< copulaPolicy > | mutableprotected |
| idiosyncFctrs() const | LatentModel< copulaPolicy > | |
| idiosyncFctrs_ (defined in LatentModel< copulaPolicy >) | LatentModel< copulaPolicy > | mutableprotected |
| integratedExpectedValue(const ext::function< Real(const std::vector< Real > &v1)> &f) const | LatentModel< copulaPolicy > | |
| integratedExpectedValue(const ext::function< Disposable< std::vector< Real > >(const std::vector< Real > &v1)> &f) const | LatentModel< copulaPolicy > | |
| integration() const | DefaultLatentModel< copulaPolicy > | protected |
| integration() const (defined in LatentModel< copulaPolicy >) | LatentModel< copulaPolicy > | protectedvirtual |
| integration_ (defined in DefaultLatentModel< copulaPolicy >) | DefaultLatentModel< copulaPolicy > | protected |
| inverseCumulativeDensity(Probability p, Size iFactor) const | LatentModel< copulaPolicy > | |
| inverseCumulativeY(Probability p, Size iVariable) const | LatentModel< copulaPolicy > | |
| inverseCumulativeZ(Probability p) const | LatentModel< copulaPolicy > | |
| iterator typedef (defined in Observer) | Observer | |
| LatentModel(const std::vector< std::vector< Real > > &factorsWeights, const typename copulaType::initTraits &ini=copulaType::initTraits()) | LatentModel< copulaPolicy > | explicit |
| LatentModel(const std::vector< Real > &factorsWeight, const typename copulaType::initTraits &ini=copulaType::initTraits()) | LatentModel< copulaPolicy > | explicit |
| LatentModel(Real correlSqr, Size nVariables, const typename copulaType::initTraits &ini=copulaType::initTraits()) | LatentModel< copulaPolicy > | explicit |
| LatentModel(const Handle< Quote > &singleFactorCorrel, Size nVariables, const typename copulaType::initTraits &ini=copulaType::initTraits()) | LatentModel< copulaPolicy > | explicit |
| latentVariableCorrel(Size iVar1, Size iVar2) const | LatentModel< copulaPolicy > | |
| latentVarValue(const std::vector< Real > &allFactors, Size iVar) const | LatentModel< copulaPolicy > | |
| nFactors_ | LatentModel< copulaPolicy > | mutableprotected |
| notifyObservers() | Observable | |
| numFactors() const | LatentModel< copulaPolicy > | |
| numTotalFactors() const | LatentModel< copulaPolicy > | |
| nVariables_ | LatentModel< copulaPolicy > | mutableprotected |
| Observable() (defined in Observable) | Observable | |
| Observable(const Observable &) (defined in Observable) | Observable | |
| Observer() (defined in Observer) | Observer | |
| Observer(const Observer &) (defined in Observer) | Observer | |
| operator=(const Observer &) (defined in Observer) | Observer | |
| QuantLib::Observable::operator=(const Observable &) | Observable | |
| probAtLeastNEvents(Size n, const Date &date) const | DefaultLatentModel< copulaPolicy > | |
| probOfDefault(Size iName, const Date &d) const | DefaultLatentModel< copulaPolicy > | |
| registerWith(const ext::shared_ptr< Observable > &) (defined in Observer) | Observer | |
| registerWithObservables(const ext::shared_ptr< Observer > &) | Observer | |
| resetBasket(const ext::shared_ptr< Basket > &basket) const (defined in DefaultLatentModel< copulaPolicy >) | DefaultLatentModel< copulaPolicy > | |
| set_type typedef (defined in Observer) | Observer | |
| size() const (defined in LatentModel< copulaPolicy >) | LatentModel< copulaPolicy > | |
| unregisterWith(const ext::shared_ptr< Observable > &) (defined in Observer) | Observer | |
| unregisterWithAll() (defined in Observer) | Observer | |
| update() | DefaultLatentModel< copulaPolicy > | protectedvirtual |
| ~Observable() (defined in Observable) | Observable | virtual |
| ~Observer() (defined in Observer) | Observer | virtual |