#include <qle/models/extendedconstantlosslatentmodel.hpp>

Inheritance diagram for ExtendedConstantLossModel< copulaPolicy >:

Collaboration diagram for ExtendedConstantLossModel< copulaPolicy >:

Public Member Functions
	ExtendedConstantLossModel (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 typename copulaPolicy::initTraits &ini=copulaPolicy::initTraits())

	ExtendedConstantLossModel (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 typename copulaPolicy::initTraits &ini=copulaPolicy::initTraits())

Public Member Functions inherited from ExtendedConstantLossLatentModel< copulaPolicy >
	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

Protected Member Functions
Real	defaultCorrelation (const Date &d, Size iName, Size jName) const
	Pearsons' default probability correlation. More...

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

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

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 Member Functions inherited from DefaultLossModel
	DefaultLossModel ()

virtual Real	expectedTrancheLoss (const Date &d, Real recoveryRate=Null< Real >()) const

virtual Probability	probOverLoss (const Date &d, Real lossFraction) const

virtual Real	percentile (const Date &d, Real percentile) const
	Value at Risk given a default loss percentile. More...

virtual Real	expectedShortfall (const Date &d, Real percentile) const
	Expected shortfall given a default loss percentile. More...

virtual std::vector< Real >	splitVaRLevel (const Date &d, Real loss) const
	Associated VaR fraction to each counterparty. More...

virtual std::vector< Real >	splitESFLevel (const Date &d, Real loss) const
	Associated ESF fraction to each counterparty. More...

virtual std::map< Real, Probability >	lossDistribution (const Date &) const
	Full loss distribution. More...

virtual Real	densityTrancheLoss (const Date &d, Real lossFraction) const
	Probability density of a given loss fraction of the basket notional. More...

virtual std::vector< Probability >	probsBeingNthEvent (Size n, const Date &d) const

virtual QuantLib::Real	correlation () const

Private Member Functions
virtual void	resetModel ()
	Concrete models do now any updates/inits they need on basket reset. More...

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

QuantLib::ext::shared_ptr< LMIntegration >	integration_

Protected Attributes inherited from DefaultLossModel
RelinkableHandle< QuantExt::Basket >	basket_

Detailed Description

template<class copulaPolicy>
class QuantExt::ExtendedConstantLossModel< copulaPolicy >

ExtendedConstantLossLatentModel interface for loss models. While it does not provide distribution type losses (e.g. expected tranche losses) because it lacks an integration algorithm it serves to allow pricing of digital type products like NTDs.

Alternatively fuse with the aboves class.

Definition at line 121 of file extendedconstantlosslatentmodel.hpp.

Constructor & Destructor Documentation

◆ ExtendedConstantLossModel() [1/2]

ExtendedConstantLossModel	(	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 typename copulaPolicy::initTraits &	ini = `copulaPolicy::initTraits()`
	)

Definition at line 123 of file extendedconstantlosslatentmodel.hpp.

128 : ExtendedConstantLossLatentModel<copulaPolicy>(factorWeights, recoveries, recoveryProbabilities, recoveryRates, integralType, ini) {}

QuantExt::ExtendedConstantLossLatentModel::recoveryProbabilities

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

Definition: extendedconstantlosslatentmodel.hpp:103

QuantExt::ExtendedConstantLossLatentModel::recoveries

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

Definition: extendedconstantlosslatentmodel.hpp:96

◆ ExtendedConstantLossModel() [2/2]

ExtendedConstantLossModel	(	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 typename copulaPolicy::initTraits &	ini = `copulaPolicy::initTraits()`
	)

Definition at line 130 of file extendedconstantlosslatentmodel.hpp.

135 : ExtendedConstantLossLatentModel<copulaPolicy>(mktCorrel, recoveries, recoveryProbabilities, recoveryRates, integralType, nVariables, ini) {}

Member Function Documentation

◆ defaultCorrelation()

Real defaultCorrelation	(	const Date &	d,
		Size	iName,
		Size	jName
	)		const

protectedvirtual

Pearsons' default probability correlation.

Reimplemented from DefaultLossModel.

Definition at line 143 of file extendedconstantlosslatentmodel.hpp.

                                                                         {
        return ExtendedConstantLossLatentModel<copulaPolicy>::defaultCorrelation(d, iName, jName);
    }

Here is the call graph for this function:

◆ probAtLeastNEvents()

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

protectedvirtual

Returns the probaility of having a given or larger number of defaults in the basket portfolio at a given time.

Reimplemented from DefaultLossModel.

Definition at line 146 of file extendedconstantlosslatentmodel.hpp.

                                                                {
        return ExtendedConstantLossLatentModel<copulaPolicy>::probAtLeastNEvents(n, d);
    }

Here is the call graph for this function:

◆ expectedRecovery()

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

protectedvirtual

Expected RR for name conditinal to default by that date.

Reimplemented from DefaultLossModel.

Definition at line 149 of file extendedconstantlosslatentmodel.hpp.

                                                                                    {
        return ExtendedConstantLossLatentModel<copulaPolicy>::expectedRecovery(d, iName, k);
    }

Here is the call graph for this function:

◆ resetModel()

virtual void resetModel ( )

privatevirtual

Concrete models do now any updates/inits they need on basket reset.

Implements DefaultLossModel.

Definition at line 154 of file extendedconstantlosslatentmodel.hpp.

                              {
        // update the default latent model we derive from
        DefaultLatentModel<copulaPolicy>::resetBasket(DefaultLossModel::basket_.currentLink()); // forces interface
    }

Here is the call graph for this function:

Public Member Functions

Protected Member Functions

Private Member Functions

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ ExtendedConstantLossModel() [1/2]

◆ ExtendedConstantLossModel() [2/2]

Member Function Documentation

◆ defaultCorrelation()

◆ probAtLeastNEvents()

◆ expectedRecovery()

◆ resetModel()