CreditMigrationCalculator Class Reference

Credit Migration Calculator. More...

#include <orea/aggregation/creditmigrationcalculator.hpp>

Public Member Functions
	CreditMigrationCalculator (const QuantLib::ext::shared_ptr< Portfolio > &portfolio, const QuantLib::ext::shared_ptr< CreditSimulationParameters > &creditSimulationParameters, const QuantLib::ext::shared_ptr< NPVCube > &cube, const QuantLib::ext::shared_ptr< CubeInterpretation > cubeInterpretation, const QuantLib::ext::shared_ptr< NPVCube > &nettedcube, const QuantLib::ext::shared_ptr< AggregationScenarioData > &aggregationScenarioData, const std::vector< Real > &creditMigrationDistributionGrid, const std::vector< Size > &creditMigrationTimeSteps, const Matrix &creditStateCorrelationMatrix, const std::string baseCurrency)
void	build ()
const std::vector< Real >	upperBucketBounds () const
const std::vector< std::vector< Real > >	cdf () const
const std::vector< std::vector< Real > >	pdf () const

Detailed Description

Credit Migration Calculator.