A free/open-source library for quantitative finance
Reference manual - version 1.5
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A free/open-source library for quantitative finance
Reference manual - version 1.5
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#include <ql/experimental/credit/randomlosslatentmodel.hpp>
Inheritance diagram for RandomLossLM< copulaPolicy, USNG >:Public Member Functions | |
| RandomLossLM (const boost::shared_ptr< SpotRecoveryLatentModel< copulaPolicy > > &copula, Size nSims=0, Real accuracy=1.e-6, BigNatural seed=2863311530) | |
| Public Member Functions inherited from LazyObject | |
| void | recalculate () |
| void | freeze () |
| void | unfreeze () |
| Public Member Functions inherited from Observable | |
| Observable (const Observable &) | |
| Observable & | operator= (const Observable &) |
| void | notifyObservers () |
| Public Member Functions inherited from Observer | |
| Observer (const Observer &) | |
| Observer & | operator= (const Observer &) |
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std::pair< std::set < boost::shared_ptr < Observable > >::iterator, bool > | registerWith (const boost::shared_ptr< Observable > &) |
| Size | unregisterWith (const boost::shared_ptr< Observable > &) |
| void | unregisterWithAll () |
Protected Member Functions | |
| void | nextSample (const std::vector< Real > &values) const |
| void | initDates () const |
| Real | getEventRecovery (const defaultSimEvent &evt) const |
| Real | latentVarValue (const std::vector< Real > &factorsSample, Size iVar) const |
| Size | basketSize () const |
| Real | conditionalRecovery (Real latentVarSample, Size iName, const Date &d) const |
| Protected Member Functions inherited from RandomLM< RandomLossLM, copulaPolicy, USNG > | |
| RandomLM (Size numFactors, Size numLMVars, const copulaPolicy &copula, Size nSims, BigNatural seed) | |
| void | update () |
| void | performCalculations () const |
| void | performSimulations () const |
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const std::vector< simEvent < RandomLossLM< copulaPolicy, USNG > > > & | getSim (const Size iSim) const |
| Real | getEventRecovery (const simEvent< RandomLossLM< copulaPolicy, USNG > > &evt) const |
| virtual Probability | probAtLeastNEvents (Size n, const Date &d) const |
| virtual Disposable < std::vector< Probability > > | probsBeingNthEvent (Size n, const Date &d) const |
| virtual Real | defaultCorrelation (const Date &d, Size iName, Size jName) const |
| Pearsons' default probability correlation. | |
| virtual Real | expectedTrancheLoss (const Date &d) const |
| virtual std::pair< Real, Real > | expectedTrancheLossInterval (const Date &d, Probability confidencePerc) const |
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virtual Disposable< std::map < Real, Probability > > | lossDistribution (const Date &d) const |
| Full loss distribution. | |
| virtual Histogram | computeHistogram (const Date &d) const |
| virtual Real | expectedShortfall (const Date &d, Real percent) const |
| Expected shortfall given a default loss percentile. | |
| virtual Real | percentile (const Date &d, Real percentile) const |
| Value at Risk given a default loss percentile. | |
| virtual boost::tuples::tuple < Real, Real, Real > | percentileAndInterval (const Date &d, Real percentile) const |
| virtual Disposable < std::vector< Real > > | splitVaRLevel (const Date &date, Real loss) const |
| virtual Disposable < std::vector< std::vector < Real > > > | splitVaRAndError (const Date &date, Real loss, Probability confInterval) const |
| Protected Member Functions inherited from LazyObject | |
| virtual void | calculate () const |
| Protected Member Functions inherited from DefaultLossModel | |
| virtual Probability | probOverLoss (const Date &d, Real lossFraction) const |
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virtual Disposable < std::vector< Real > > | splitESFLevel (const Date &d, Real loss) const |
| Associated ESF fraction to each counterparty. | |
| virtual Real | densityTrancheLoss (const Date &d, Real lossFraction) const |
| Probability density of a given loss fraction of the basket notional. | |
| virtual Real | expectedRecovery (const Date &, Size iName, const DefaultProbKey &) const |
Friends | |
| class | RandomLM< ::QuantLib::RandomLossLM, copulaPolicy, USNG > |
Additional Inherited Members | |
| Protected Attributes inherited from RandomLM< RandomLossLM, copulaPolicy, USNG > | |
| const Size | numFactors_ |
| const Size | numLMVars_ |
| const Size | nSims_ |
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std::vector< std::vector < simEvent< RandomLossLM < copulaPolicy, USNG > > > > | simsBuffer_ |
| copulaPolicy | copula_ |
| boost::shared_ptr< copulaRNG_type > | copulasRng_ |
| Protected Attributes inherited from LazyObject | |
| bool | calculated_ |
| bool | frozen_ |
| Protected Attributes inherited from DefaultLossModel | |
| RelinkableHandle< Basket > | basket_ |
| Static Protected Attributes inherited from RandomLM< RandomLossLM, copulaPolicy, USNG > | |
| static const Size | maxHorizon_ |
Random spot recovery rate loss model simulation for an arbitrary copula.
