latentmodel.hpp File Reference

Generic multifactor latent variable model. More...

#include <ql/experimental/math/multidimquadrature.hpp>
#include <ql/experimental/math/multidimintegrator.hpp>
#include <ql/math/integrals/trapezoidintegral.hpp>
#include <ql/math/randomnumbers/randomsequencegenerator.hpp>
#include <ql/experimental/math/gaussiancopulapolicy.hpp>
#include <ql/experimental/math/tcopulapolicy.hpp>
#include <ql/math/randomnumbers/boxmullergaussianrng.hpp>
#include <ql/experimental/math/polarstudenttrng.hpp>
#include <ql/handle.hpp>
#include <ql/quote.hpp>
#include <vector>

Go to the source code of this file.

Classes
struct	multiplyV
class	LMIntegration
class	IntegrationBase< I_T >
class	IntegrationBase< GaussianQuadMultidimIntegrator >
class	IntegrationBase< MultidimIntegral >
class	LatentModel< copulaPolicyImpl >
	Generic multifactor latent variable model. More...
class	LatentModel< copulaPolicyImpl >::FactorSampler< USNG, bool >
class	LatentModel< copulaPolicyImpl >::IntegrationFactory

Namespaces
namespace	QuantLib
namespace	QuantLib::detail
namespace	QuantLib::LatentModelIntegrationType

Typedefs
typedef enum QuantLib::LatentModelIntegrationType::LatentModelIntegrationType	LatentModelIntegrationType

Enumerations
enum	LatentModelIntegrationType { GaussianQuadrature , Trapezoid }

Detailed Description

Generic multifactor latent variable model.

Definition in file latentmodel.hpp.