ExtendedConstantLossLatentModel< copulaPolicy > Class Template Reference

#include <qle/models/extendedconstantlosslatentmodel.hpp>

Inheritance diagram for ExtendedConstantLossLatentModel< copulaPolicy >:

Collaboration diagram for ExtendedConstantLossLatentModel< copulaPolicy >:

Public Member Functions
	ExtendedConstantLossLatentModel (const std::vector< std::vector< Real > > &factorWeights, const std::vector< Real > &recoveries, const std::vector< std::vector< Real > > &recoveryProbabilities, const std::vector< std::vector< Real > > &recoveryRates, LatentModelIntegrationType::LatentModelIntegrationType integralType, const initTraits &ini=initTraits())
	ExtendedConstantLossLatentModel (const Handle< Quote > &mktCorrel, const std::vector< Real > &recoveries, const std::vector< std::vector< Real > > &recoveryProbabilities, const std::vector< std::vector< Real > > &recoveryRates, LatentModelIntegrationType::LatentModelIntegrationType integralType, Size nVariables, const initTraits &ini=initTraits())
void	checkStochasticRecoveries ()
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
const std::vector< std::vector< Real > > &	recoveryProbabilities ()
const std::vector< std::vector< Real > > &	recoveryRateGrids ()
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_
std::vector< std::vector< Real > >	recoveryProbabilities_
std::vector< std::vector< Real > >	recoveryRates_

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::ExtendedConstantLossLatentModel< copulaPolicy >

Constant deterministic loss amount default latent model, extended to cover a discrete distribution of recovery rates following Krekel (2008), https://ssrn.com/abstract=11340228. For each obligor we pass a vector of J recovery probabilities p_1, ..., p_J and recovery rates in decreasing order r_1 > r_2 > ... > r_J contional on default. If this data is empty, the extended model will fall back on the ConstantLossLatentModel.

Definition at line 37 of file extendedconstantlosslatentmodel.hpp.

Member Typedef Documentation

initTraits

typedef copulaPolicy::initTraits initTraits

private

Definition at line 40 of file extendedconstantlosslatentmodel.hpp.

Constructor & Destructor Documentation

ExtendedConstantLossLatentModel() [1/2]

ExtendedConstantLossLatentModel	(	const std::vector< std::vector< Real > > &	factorWeights,
		const std::vector< Real > &	recoveries,
		const std::vector< std::vector< Real > > &	recoveryProbabilities,
		const std::vector< std::vector< Real > > &	recoveryRates,
		LatentModelIntegrationType::LatentModelIntegrationType	integralType,
		const initTraits &	ini = initTraits()
	)

Definition at line 43 of file extendedconstantlosslatentmodel.hpp.

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

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ExtendedConstantLossLatentModel() [2/2]

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

Definition at line 54 of file extendedconstantlosslatentmodel.hpp.

        : DefaultLatentModel<copulaPolicy>(mktCorrel, nVariables, integralType, ini), recoveries_(recoveries),
          recoveryProbabilities_(recoveryProbabilities), recoveryRates_(recoveryRates) {
        // 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.");
        checkStochasticRecoveries(); 
    }

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Member Function Documentation

checkStochasticRecoveries()

void checkStochasticRecoveries

(

)

Definition at line 68 of file extendedconstantlosslatentmodel.hpp.

                                     {
        QL_REQUIRE(recoveryProbabilities_.size() == recoveryRates_.size(), "number of recovery probability vectors and market recovery rates differ");
        if (recoveryProbabilities_.size() == 0)
            return;
        QL_REQUIRE(recoveryProbabilities_.size() == recoveries_.size(), "number of recovery rates and recovery probablity vectors differ");
        for (Size i = 0; i < recoveries_.size(); ++i) {
            QL_REQUIRE(recoveryProbabilities_[i].size() == recoveryRates_[i].size(), "recovery and probability vector size mismatch for obligor " << i);
            Real expectedRecovery = 0.0;
            for (Size j = 0; j < recoveryProbabilities_[i].size(); ++j)
                expectedRecovery += recoveryProbabilities_[i][j] * recoveryRates_[i][j];
            QL_REQUIRE(QuantLib::close_enough(expectedRecovery, recoveries_[i]), "expected recovery does not match market recovery rate for obligor " << i);
        }
    }

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conditionalRecovery() [1/3]

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

Definition at line 82 of file extendedconstantlosslatentmodel.hpp.

                                                                                                 {
        return recoveries_[iName];
    }

conditionalRecovery() [2/3]

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

Definition at line 86 of file extendedconstantlosslatentmodel.hpp.

                                                                                                          {
        return recoveries_[iName];
    }

conditionalRecoveryInvP()

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

Definition at line 90 of file extendedconstantlosslatentmodel.hpp.

                                                                                                          {
        return recoveries_[iName];
    }

conditionalRecovery() [3/3]

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

Definition at line 94 of file extendedconstantlosslatentmodel.hpp.

{ return recoveries_[iName]; }

recoveries()

const std::vector< Real > & recoveries

(

)

const

Definition at line 96 of file extendedconstantlosslatentmodel.hpp.

{ return recoveries_; }

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expectedRecovery()

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

Definition at line 101 of file extendedconstantlosslatentmodel.hpp.

{ return recoveries_[iName]; }

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recoveryProbabilities()

const std::vector< std::vector< Real > > & recoveryProbabilities

(

)

Definition at line 103 of file extendedconstantlosslatentmodel.hpp.

{ return recoveryProbabilities_; }

recoveryRateGrids()

const std::vector< std::vector< Real > > & recoveryRateGrids

(

)

Definition at line 104 of file extendedconstantlosslatentmodel.hpp.

{ return recoveryRates_; }

Member Data Documentation

recoveries_

const std::vector<Real> recoveries_

private

Definition at line 39 of file extendedconstantlosslatentmodel.hpp.

recoveryProbabilities_

std::vector<std::vector<Real> > recoveryProbabilities_

private

Definition at line 107 of file extendedconstantlosslatentmodel.hpp.

recoveryRates_

std::vector<std::vector<Real> > recoveryRates_

private

Definition at line 108 of file extendedconstantlosslatentmodel.hpp.