#include <qle/models/constantlosslatentmodel.hpp>
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_ |
Constant deterministic loss amount default latent model. Integrable implementation.
Definition at line 38 of file constantlosslatentmodel.hpp.
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private |
Definition at line 41 of file constantlosslatentmodel.hpp.
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.
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.
Real conditionalRecovery | ( | const Date & | d, |
Size | iName, | ||
const std::vector< Real > & | mktFactors | ||
) | const |
Definition at line 61 of file constantlosslatentmodel.hpp.
Real conditionalRecovery | ( | Probability | uncondDefP, |
Size | iName, | ||
const std::vector< Real > & | mktFactors | ||
) | const |
Definition at line 65 of file constantlosslatentmodel.hpp.
Real conditionalRecoveryInvP | ( | Real | invUncondDefP, |
Size | iName, | ||
const std::vector< Real > & | mktFactors | ||
) | const |
Definition at line 69 of file constantlosslatentmodel.hpp.
Real conditionalRecovery | ( | Real | latentVarSample, |
Size | iName, | ||
const Date & | d | ||
) | const |
Definition at line 73 of file constantlosslatentmodel.hpp.
const std::vector< Real > & recoveries | ( | ) | const |
Definition at line 75 of file constantlosslatentmodel.hpp.
Real expectedRecovery | ( | const Date & | d, |
Size | iName, | ||
const DefaultProbKey & | defKeys | ||
) | const |
Definition at line 80 of file constantlosslatentmodel.hpp.
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private |
Definition at line 40 of file constantlosslatentmodel.hpp.