#include <ql/experimental/risk/creditriskplus.hpp>
| Public Member Functions | |
| CreditRiskPlus (const std::vector< Real > &exposure, const std::vector< Real > &defaultProbability, const std::vector< Size > §or, const std::vector< Real > &relativeDefaultVariance, const Matrix &correlation, const Real unit) | |
| const std::vector< Real > & | loss () | 
| const std::vector< Real > & | marginalLoss () | 
| Real | exposure () | 
| Real | expectedLoss () const | 
| Real | unexpectedLoss () | 
| Real | relativeDefaultVariance () | 
| const std::vector< Real > & | sectorExposures () const | 
| const std::vector< Real > & | sectorExpectedLoss () const | 
| const std::vector< Real > & | sectorUnexpectedLoss () const | 
| Real | lossQuantile (const Real p) | 
Extended CreditRisk+ model as described in [1] Integrating Correlations, Risk, July 1999 and the references therein.