#include <qle/models/constantlosslatentmodel.hpp>

Inheritance diagram for ConstantLossLatentmodel< copulaPolicy >:

Collaboration diagram for ConstantLossLatentmodel< copulaPolicy >:

Public Member Functions
	ConstantLossLatentmodel (const std::vector< std::vector< Real > > &factorWeights, const std::vector< Real > &recoveries, LatentModelIntegrationType::LatentModelIntegrationType integralType, const initTraits &ini=initTraits())

	ConstantLossLatentmodel (const Handle< Quote > &mktCorrel, const std::vector< Real > &recoveries, LatentModelIntegrationType::LatentModelIntegrationType integralType, Size nVariables, const initTraits &ini=initTraits())

Real	conditionalRecovery (const Date &d, Size iName, const std::vector< Real > &mktFactors) const

Real	conditionalRecovery (Probability uncondDefP, Size iName, const std::vector< Real > &mktFactors) const

Real	conditionalRecoveryInvP (Real invUncondDefP, Size iName, const std::vector< Real > &mktFactors) const

Real	conditionalRecovery (Real latentVarSample, Size iName, const Date &d) const

const std::vector< Real > &	recoveries () const

Real	expectedRecovery (const Date &d, Size iName, const DefaultProbKey &defKeys) const

Public Member Functions inherited from DefaultLatentModel< copulaPolicy >
	DefaultLatentModel (const std::vector< std::vector< Real > > &factorWeights, LatentModelIntegrationType::LatentModelIntegrationType integralType, const initTraits &ini=initTraits())

	DefaultLatentModel (const Handle< Quote > &mktCorrel, Size nVariables, LatentModelIntegrationType::LatentModelIntegrationType integralType, const initTraits &ini=initTraits())

void	resetBasket (const QuantLib::ext::shared_ptr< Basket > basket) const

Probability	conditionalDefaultProbability (Probability prob, Size iName, const std::vector< Real > &mktFactors) const

Probability	conditionalDefaultProbabilityInvP (Real invCumYProb, Size iName, const std::vector< Real > &m) const

Probability	probOfDefault (Size iName, const Date &d) const

Real	defaultCorrelation (const Date &d, Size iNamei, Size iNamej) const

Probability	probAtLeastNEvents (Size n, const Date &date) const

Private Types
typedef copulaPolicy::initTraits	initTraits

Private Attributes
const std::vector< Real >	recoveries_

Additional Inherited Members
Protected Member Functions inherited from DefaultLatentModel< copulaPolicy >
void	update () override

Probability	conditionalDefaultProbability (const Date &date, Size iName, const std::vector< Real > &mktFactors) const

Probability	condProbProduct (Real invCumYProb1, Real invCumYProb2, Size iName1, Size iName2, const std::vector< Real > &mktFactors) const

Real	conditionalProbAtLeastNEvents (Size n, const Date &date, const std::vector< Real > &mktFactors) const
	Conditional probability of n default events or more. More...

const QuantLib::ext::shared_ptr< LMIntegration > &	integration () const override
	access to integration: More...

Protected Attributes inherited from DefaultLatentModel< copulaPolicy >
QuantLib::ext::shared_ptr< Basket >	basket_

QuantLib::ext::shared_ptr< LMIntegration >	integration_

Detailed Description

template<class copulaPolicy>
class QuantExt::ConstantLossLatentmodel< copulaPolicy >

Constant deterministic loss amount default latent model. Integrable implementation.

Definition at line 38 of file constantlosslatentmodel.hpp.

Member Typedef Documentation

◆ initTraits

typedef copulaPolicy::initTraits initTraits

private

Definition at line 41 of file constantlosslatentmodel.hpp.

Constructor & Destructor Documentation

◆ ConstantLossLatentmodel() [1/2]

ConstantLossLatentmodel	(	const std::vector< std::vector< Real > > &	factorWeights,
		const std::vector< Real > &	recoveries,
		LatentModelIntegrationType::LatentModelIntegrationType	integralType,
		const initTraits &	ini = `initTraits()`
	)

Definition at line 44 of file constantlosslatentmodel.hpp.

        : DefaultLatentModel<copulaPolicy>(factorWeights, integralType, ini), recoveries_(recoveries) {
 
        QL_REQUIRE(recoveries.size() == factorWeights.size(), "Incompatible factors and recovery sizes.");
    }

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◆ ConstantLossLatentmodel() [2/2]

ConstantLossLatentmodel	(	const Handle< Quote > &	mktCorrel,
		const std::vector< Real > &	recoveries,
		LatentModelIntegrationType::LatentModelIntegrationType	integralType,
		Size	nVariables,
		const initTraits &	ini = `initTraits()`
	)

Definition at line 52 of file constantlosslatentmodel.hpp.

        : DefaultLatentModel<copulaPolicy>(mktCorrel, nVariables, integralType, ini), recoveries_(recoveries) {
        // actually one could define the other and get rid of the variable
        // here and in other similar models
        QL_REQUIRE(recoveries.size() == nVariables, "Incompatible model and recovery sizes.");
    }

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Member Function Documentation

◆ conditionalRecovery() [1/3]

Real conditionalRecovery	(	const Date &	d,
		Size	iName,
		const std::vector< Real > &	mktFactors
	)		const

Definition at line 61 of file constantlosslatentmodel.hpp.

                                                                                                 {
        return recoveries_[iName];
    }

◆ conditionalRecovery() [2/3]

Real conditionalRecovery	(	Probability	uncondDefP,
		Size	iName,
		const std::vector< Real > &	mktFactors
	)		const

Definition at line 65 of file constantlosslatentmodel.hpp.

                                                                                                          {
        return recoveries_[iName];
    }

◆ conditionalRecoveryInvP()

Real conditionalRecoveryInvP	(	Real	invUncondDefP,
		Size	iName,
		const std::vector< Real > &	mktFactors
	)		const

Definition at line 69 of file constantlosslatentmodel.hpp.

                                                                                                          {
        return recoveries_[iName];
    }

◆ conditionalRecovery() [3/3]

Real conditionalRecovery	(	Real	latentVarSample,
		Size	iName,
		const Date &	d
	)		const

Definition at line 73 of file constantlosslatentmodel.hpp.

73{ return recoveries_[iName]; }

◆ recoveries()

const std::vector< Real > & recoveries ( ) const

Definition at line 75 of file constantlosslatentmodel.hpp.

75{ return recoveries_; }

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◆ expectedRecovery()

Real expectedRecovery	(	const Date &	d,
		Size	iName,
		const DefaultProbKey &	defKeys
	)		const

Definition at line 80 of file constantlosslatentmodel.hpp.

80{ return recoveries_[iName]; }

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Member Data Documentation

◆ recoveries_

const std::vector<Real> recoveries_