LossModelConditionalDist< CopulaPolicy > Class Template Reference

#include <qle/models/poollossmodel.hpp>

Collaboration diagram for LossModelConditionalDist< CopulaPolicy >:

Classes
struct	keyCmp

Public Member Functions
	LossModelConditionalDist (const QuantLib::ext::shared_ptr< ExtendedConstantLossLatentModel< CopulaPolicy > > &copula, const QuantLib::ext::shared_ptr< QuantLib::LossDist > &bucketing, const std::vector< QuantLib::Real > &marginalDps, const std::vector< QuantLib::Real > &lgds)
QuantLib::Real	conditionalDensity (QuantLib::Real factor, QuantLib::Size bucket)
QuantLib::Real	conditionalAverage (QuantLib::Real factor, QuantLib::Size bucket)

Private Member Functions
std::pair< Distribution, QuantLib::Real >	distribution (QuantLib::Real factor)

Private Attributes
const QuantLib::ext::shared_ptr< ExtendedConstantLossLatentModel< CopulaPolicy > >	copula_
QuantLib::ext::shared_ptr< QuantLib::LossDist >	bucketing_
std::vector< QuantLib::Real >	inverseMarginalDps_
std::vector< QuantLib::Real >	lgds_
std::map< QuantLib::Real, std::pair< Distribution, QuantLib::Real >, keyCmp >	conditionalDists_

Detailed Description

template<class CopulaPolicy>
class QuantExt::LossModelConditionalDist< CopulaPolicy >

Definition at line 110 of file poollossmodel.hpp.

Constructor & Destructor Documentation

LossModelConditionalDist()

LossModelConditionalDist	(	const QuantLib::ext::shared_ptr< ExtendedConstantLossLatentModel< CopulaPolicy > > &	copula,
		const QuantLib::ext::shared_ptr< QuantLib::LossDist > &	bucketing,
		const std::vector< QuantLib::Real > &	marginalDps,
		const std::vector< QuantLib::Real > &	lgds
	)

Definition at line 541 of file poollossmodel.hpp.

    : copula_(copula), bucketing_(bucketing),
      inverseMarginalDps_(marginalDps.size()), lgds_(lgds) {
 
    for (Size i = 0; i < marginalDps.size(); i++) {
        inverseMarginalDps_[i] = copula_->inverseCumulativeY(marginalDps[i], i);
    }
}

Member Function Documentation

conditionalDensity()

QuantLib::Real conditionalDensity	(	QuantLib::Real	factor,
		QuantLib::Size	bucket
	)

Definition at line 555 of file poollossmodel.hpp.

                                              {
    auto p = distribution(factor);
    return p.first.density(bucket) * p.second;
}

conditionalAverage()

QuantLib::Real conditionalAverage	(	QuantLib::Real	factor,
		QuantLib::Size	bucket
	)

Definition at line 562 of file poollossmodel.hpp.

                                              {
    auto p = distribution(factor);
    return p.first.average(bucket) * p.second;
}

distribution()

std::pair< Distribution, QuantLib::Real > distribution ( QuantLib::Real  factor )

private

Definition at line 569 of file poollossmodel.hpp.

                                                                                                            {
 
    auto it = conditionalDists_.find(factor);
    if (it != conditionalDists_.end())
        return it->second;
 
    // If we do not already have the distribution for the given factor, we create it.
    // Vector of default probabilities conditional on the common market factor M: P(\tau_i < t | M = m)
    std::vector<QuantLib::Real> cps(inverseMarginalDps_.size());
    std::vector<QuantLib::Real> vFactor{ factor };
    for (Size i = 0; i < cps.size(); i++) {
        cps[i] = copula_->conditionalDefaultProbabilityInvP(inverseMarginalDps_[i], i, vFactor);
    }
 
    it = conditionalDists_.emplace(factor, std::make_pair((*bucketing_)(lgds_, cps), copula_->density(vFactor))).first;
    return it->second;
}

Member Data Documentation

copula_

const QuantLib::ext::shared_ptr<ExtendedConstantLossLatentModel<CopulaPolicy> > copula_

private

Definition at line 121 of file poollossmodel.hpp.

bucketing_

QuantLib::ext::shared_ptr<QuantLib::LossDist> bucketing_

private

Definition at line 122 of file poollossmodel.hpp.

inverseMarginalDps_

std::vector<QuantLib::Real> inverseMarginalDps_

private

Definition at line 123 of file poollossmodel.hpp.

lgds_

std::vector<QuantLib::Real> lgds_

private

Definition at line 124 of file poollossmodel.hpp.

conditionalDists_

std::map<QuantLib::Real, std::pair<Distribution, QuantLib::Real>, keyCmp> conditionalDists_

private

Definition at line 135 of file poollossmodel.hpp.