BetaRiskSimulation Class Reference

#include <catrisk.hpp>

Inheritance diagram for BetaRiskSimulation:

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Public Member Functions
	BetaRiskSimulation (Date start, Date end, Real maxLoss, Real lambda, Real alpha, Real beta)
bool	nextPath (std::vector< std::pair< Date, Real > > &path) override
Real	generateBeta ()
Public Member Functions inherited from CatSimulation
	CatSimulation (Date start, Date end)
virtual	~CatSimulation ()=default
virtual bool	nextPath (std::vector< std::pair< Date, Real > > &path)=0

Private Attributes
Real	maxLoss_
Integer	dayCount_
Real	yearFraction_
std::mt19937	rng_
std::exponential_distribution< Real >	exponential_
std::gamma_distribution< Real >	gammaAlpha_
std::gamma_distribution< Real >	gammaBeta_

Additional Inherited Members
Protected Attributes inherited from CatSimulation
Date	start_
Date	end_

Detailed Description

Definition at line 90 of file catrisk.hpp.

Constructor & Destructor Documentation

BetaRiskSimulation()

BetaRiskSimulation	(	Date	start,
		Date	end,
		Real	maxLoss,
		Real	lambda,
		Real	alpha,
		Real	beta
	)

Definition at line 80 of file catrisk.cpp.

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Member Function Documentation

nextPath()

bool nextPath ( std::vector< std::pair< Date, Real > > &  path )

overridevirtual

Implements CatSimulation.

Definition at line 99 of file catrisk.cpp.

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generateBeta()

Real generateBeta

(

)

Definition at line 92 of file catrisk.cpp.

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Member Data Documentation

maxLoss_

Real maxLoss_

private

Definition at line 103 of file catrisk.hpp.

dayCount_

Integer dayCount_

private

Definition at line 105 of file catrisk.hpp.

yearFraction_

Real yearFraction_

private

Definition at line 106 of file catrisk.hpp.

rng_

std::mt19937 rng_

private

Definition at line 108 of file catrisk.hpp.

exponential_

std::exponential_distribution<Real> exponential_

private

Definition at line 109 of file catrisk.hpp.

gammaAlpha_

std::gamma_distribution<Real> gammaAlpha_

private

Definition at line 110 of file catrisk.hpp.

gammaBeta_

std::gamma_distribution<Real> gammaBeta_

private

Definition at line 111 of file catrisk.hpp.