This is the complete list of members for SaddlePointLossModel< CP >, including all inherited members.
attachRatio_ (defined in SaddlePointLossModel< CP >) | SaddlePointLossModel< CP > | mutableprotected |
basket_ (defined in DefaultLossModel) | DefaultLossModel | mutableprotected |
conditionalExpectedLoss(const std::vector< Real > &invUncondProbs, const std::vector< Real > &mktFactor) const (defined in SaddlePointLossModel< CP >) | SaddlePointLossModel< CP > | protected |
conditionalExpectedTrancheLoss(const std::vector< Real > &invUncondProbs, const std::vector< Real > &mktFactor) const (defined in SaddlePointLossModel< CP >) | SaddlePointLossModel< CP > | protected |
copula_ (defined in SaddlePointLossModel< CP >) | SaddlePointLossModel< CP > | protected |
CumGen0234DerivCond(const std::vector< Real > &invUncondProbs, Real saddle, const std::vector< Real > &mktFactor) const | SaddlePointLossModel< CP > | protected |
CumGen02DerivCond(const std::vector< Real > &invUncondProbs, Real saddle, const std::vector< Real > &mktFactor) const | SaddlePointLossModel< CP > | protected |
CumGen1stDerivative(const Date &date, Real s) const (defined in SaddlePointLossModel< CP >) | SaddlePointLossModel< CP > | protected |
CumGen1stDerivativeCond(const std::vector< Real > &invUncondProbs, Real saddle, const std::vector< Real > &mktFactor) const | SaddlePointLossModel< CP > | protected |
CumGen2ndDerivative(const Date &date, Real s) const (defined in SaddlePointLossModel< CP >) | SaddlePointLossModel< CP > | protected |
CumGen2ndDerivativeCond(const std::vector< Real > &invUncondProbs, Real saddle, const std::vector< Real > &mktFactor) const | SaddlePointLossModel< CP > | protected |
CumGen3rdDerivative(const Date &date, Real s) const (defined in SaddlePointLossModel< CP >) | SaddlePointLossModel< CP > | protected |
CumGen3rdDerivativeCond(const std::vector< Real > &invUncondProbs, Real saddle, const std::vector< Real > &mktFactor) const (defined in SaddlePointLossModel< CP >) | SaddlePointLossModel< CP > | protected |
CumGen4thDerivative(const Date &date, Real s) const (defined in SaddlePointLossModel< CP >) | SaddlePointLossModel< CP > | protected |
CumGen4thDerivativeCond(const std::vector< Real > &invUncondProbs, Real saddle, const std::vector< Real > &mktFactor) const (defined in SaddlePointLossModel< CP >) | SaddlePointLossModel< CP > | protected |
CumulantGenerating(const Date &date, Real s) const | SaddlePointLossModel< CP > | protected |
CumulantGeneratingCond(const std::vector< Real > &invUncondProbs, Real lossFraction, const std::vector< Real > &mktFactor) const | SaddlePointLossModel< CP > | protected |
defaultCorrelation(const Date &d, Size iName, Size jName) const | DefaultLossModel | protectedvirtual |
DefaultLossModel() (defined in DefaultLossModel) | DefaultLossModel | protected |
densityTrancheLoss(const Date &d, Real lossFraction) const | DefaultLossModel | protectedvirtual |
detachRatio_ (defined in SaddlePointLossModel< CP >) | SaddlePointLossModel< CP > | protected |
expectedRecovery(const Date &, Size iName, const DefaultProbKey &) const | DefaultLossModel | protectedvirtual |
expectedShortfall(const Date &d, Probability percentile) const | SaddlePointLossModel< CP > | virtual |
expectedShortfallFullPortfolioCond(const std::vector< Real > &invUncondProbs, Real lossPerc, const std::vector< Real > &mktFactor) const (defined in SaddlePointLossModel< CP >) | SaddlePointLossModel< CP > | protected |
expectedShortfallSplitCond(const std::vector< Real > &invUncondProbs, Real lossPerc, const std::vector< Real > &mktFactor) const (defined in SaddlePointLossModel< CP >) | SaddlePointLossModel< CP > | protected |
expectedShortfallTrancheCond(const std::vector< Real > &invUncondProbs, Real lossPerc, Probability percentile, const std::vector< Real > &mktFactor) const (defined in SaddlePointLossModel< CP >) | SaddlePointLossModel< CP > | protected |
expectedTrancheLoss(const Date &d) const (defined in SaddlePointLossModel< CP >) | SaddlePointLossModel< CP > | virtual |
findSaddle(const std::vector< Real > &invUncondProbs, Real lossLevel, const std::vector< Real > &mktFactor, Real accuracy=1.0e-3, Natural maxEvaluations=50) const | SaddlePointLossModel< CP > | protected |
lossDistribution(const Date &d) const | SaddlePointLossModel< CP > | virtual |
notifyObservers() | Observable | |
Observable() (defined in Observable) | Observable | |
Observable(const Observable &) (defined in Observable) | Observable | |
operator=(const Observable &) | Observable | |
percentile(const Date &d, Probability percentile) const | SaddlePointLossModel< CP > | virtual |
probAtLeastNEvents(Size n, const Date &d) const | DefaultLossModel | protectedvirtual |
probDensity(const Date &d, Real loss) const (defined in SaddlePointLossModel< CP >) | SaddlePointLossModel< CP > | |
probDensityCond(const std::vector< Real > &invUncondProbs, Real loss, const std::vector< Real > &mktFactor) const | SaddlePointLossModel< CP > | protected |
probOverLoss(const Date &d, Real trancheLossFract) const | SaddlePointLossModel< CP > | virtual |
probOverLossCond(const std::vector< Real > &invUncondProbs, Real trancheLossFract, const std::vector< Real > &mktFactor) const | SaddlePointLossModel< CP > | protected |
probOverLossPortfCond(const std::vector< Real > &invUncondProbs, Real loss, const std::vector< Real > &mktFactor) const | SaddlePointLossModel< CP > | protected |
probOverLossPortfCond1stOrder(const std::vector< Real > &invUncondProbs, Real loss, const std::vector< Real > &mktFactor) const (defined in SaddlePointLossModel< CP >) | SaddlePointLossModel< CP > | protected |
probOverPortfLoss(const Date &d, Real loss) const (defined in SaddlePointLossModel< CP >) | SaddlePointLossModel< CP > | |
probsBeingNthEvent(Size n, const Date &d) const | DefaultLossModel | protectedvirtual |
remainingNotional_ (defined in SaddlePointLossModel< CP >) | SaddlePointLossModel< CP > | mutableprotected |
remainingNotionals_ (defined in SaddlePointLossModel< CP >) | SaddlePointLossModel< CP > | mutableprotected |
remainingSize_ (defined in SaddlePointLossModel< CP >) | SaddlePointLossModel< CP > | mutableprotected |
resetModel() | SaddlePointLossModel< CP > | protectedvirtual |
SaddlePointLossModel(const ext::shared_ptr< ConstantLossLatentmodel< CP > > &m) (defined in SaddlePointLossModel< CP >) | SaddlePointLossModel< CP > | explicit |
splitESFLevel(const Date &d, Real loss) const | DefaultLossModel | protectedvirtual |
splitLossCond(const std::vector< Real > &invUncondProbs, Real loss, std::vector< Real > mktFactor) const (defined in SaddlePointLossModel< CP >) | SaddlePointLossModel< CP > | protected |
splitVaRLevel(const Date &date, Real loss) const | SaddlePointLossModel< CP > | virtual |
~Observable() (defined in Observable) | Observable | virtual |