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QuantLib: a free/open-source library for quantitative finance
Reference manual - version 1.40
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This is the complete list of members for CreditRiskPlus, including all inherited members.
| CreditRiskPlus(std::vector< Real > exposure, std::vector< Real > defaultProbability, std::vector< Size > sector, std::vector< Real > relativeDefaultVariance, Matrix correlation, Real unit) (defined in CreditRiskPlus) | CreditRiskPlus | |
| expectedLoss() const (defined in CreditRiskPlus) | CreditRiskPlus | |
| exposure() const (defined in CreditRiskPlus) | CreditRiskPlus | |
| loss() (defined in CreditRiskPlus) | CreditRiskPlus | |
| lossQuantile(Real p) (defined in CreditRiskPlus) | CreditRiskPlus | |
| marginalLoss() (defined in CreditRiskPlus) | CreditRiskPlus | |
| relativeDefaultVariance() const (defined in CreditRiskPlus) | CreditRiskPlus | |
| sectorExpectedLoss() const (defined in CreditRiskPlus) | CreditRiskPlus | |
| sectorExposures() const (defined in CreditRiskPlus) | CreditRiskPlus | |
| sectorUnexpectedLoss() const (defined in CreditRiskPlus) | CreditRiskPlus | |
| unexpectedLoss() const (defined in CreditRiskPlus) | CreditRiskPlus |