#include <ql/experimental/credit/recursivelossmodel.hpp>

Inheritance diagram for RecursiveLossModel< copulaPolicy >:

Collaboration diagram for RecursiveLossModel< copulaPolicy >:

Public Member Functions
	RecursiveLossModel (const ext::shared_ptr< ConstantLossLatentmodel< copulaPolicy > > &m, Size nbuckets=1)

Real	expectedTrancheLoss (const Date &date) const override

std::vector< Real >	lossProbability (const Date &date) const

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

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

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

Public Member Functions inherited from Observable
	Observable ()

	Observable (const Observable &)

Observable &	operator= (const Observable &)

	Observable (Observable &&)=delete

Observable &	operator= (Observable &&)=delete

virtual	~Observable ()=default

void	notifyObservers ()

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

Protected Member Functions inherited from DefaultLossModel
	DefaultLossModel ()=default

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

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

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

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

Protected Attributes
const ext::shared_ptr< ConstantLossLatentmodel< copulaPolicy > >	copula_

Protected Attributes inherited from DefaultLossModel
RelinkableHandle< Basket >	basket_

Private Member Functions
std::map< Real, Probability >	conditionalLossDistrib (const std::vector< Probability > &pDefDate, const std::vector< Real > &mktFactor) const

Real	expectedConditionalLoss (const std::vector< Probability > &pDefDate, const std::vector< Real > &mktFactor) const
	Portfolio loss conditional to the market factor value. More...

std::vector< Real >	conditionalLossProb (const std::vector< Probability > &pDefDate, const std::vector< Real > &mktFactor) const

std::map< Real, Probability >	conditionalLossDistribInvP (const std::vector< Real > &pDefDate, const std::vector< Real > &mktFactor) const

Real	expectedConditionalLossInvP (const std::vector< Real > &pDefDate, const std::vector< Real > &mktFactor) const

Private Attributes
const Size	nBuckets_

std::vector< Real >	wk_

Real	lossUnit_

Real	attachAmount_
	name to name factor. In the single factor copula: More...

Real	detachAmount_

Real	notional_

Size	remainingBsktSize_

std::vector< Real >	notionals_

Detailed Description

template<class copulaPolicy>
class QuantLib::RecursiveLossModel< copulaPolicy >

Recursive STCDO default loss model for a heterogeneous pool of names. The pool names are heterogeneous in their default probabilities, notionals and recovery rates. Correlations are given by the latent model. The recursive pricing algorithm used here is described in Andersen, Sidenius and Basu; "All your hedges in one basket", Risk, November 2003, pages 67-72

Notice that using copulas other than Gaussian it is only an
approximation (see remark on p.68).

\todo Make the loss unit equal to some small fraction depending on the
portfolio loss weights (notionals and recoveries). As it is now this
is ok for pricing but not for risk metrics. See the discussion in O'Kane
18.3.2
\todo Intengrands should all use the inverted probabilities for 
performance instead of calling the copula inversion with the same vals.

Definition at line 47 of file recursivelossmodel.hpp.

Constructor & Destructor Documentation

◆ RecursiveLossModel()

RecursiveLossModel	(	const ext::shared_ptr< ConstantLossLatentmodel< copulaPolicy > > &	m,
		Size	nbuckets = `1`
	)

explicit

Definition at line 49 of file recursivelossmodel.hpp.

Member Function Documentation

◆ conditionalLossDistrib()

std::map< Real, Probability > conditionalLossDistrib	(	const std::vector< Probability > &	pDefDate,
		const std::vector< Real > &	mktFactor
	)		const

private

Parameters

pDefDate Vector of unconditional default probabilities for each live name (at the current evaluation date). This is passed instead of the date for performance reasons (if in the future other magnitudes -e.g. lgd- are contingent on the date they shouldd be passed too).

Definition at line 302 of file recursivelossmodel.hpp.

◆ expectedConditionalLoss()

Real expectedConditionalLoss	(	const std::vector< Probability > &	pDefDate,
		const std::vector< Real > &	mktFactor
	)		const

private

Portfolio loss conditional to the market factor value.

Definition at line 406 of file recursivelossmodel.hpp.

◆ conditionalLossProb()

std::vector< Real > conditionalLossProb	(	const std::vector< Probability > &	pDefDate,
		const std::vector< Real > &	mktFactor
	)		const

private

Definition at line 469 of file recursivelossmodel.hpp.

◆ conditionalLossDistribInvP()

std::map< Real, Probability > conditionalLossDistribInvP	(	const std::vector< Real > &	pDefDate,
		const std::vector< Real > &	mktFactor
	)		const

private

Definition at line 350 of file recursivelossmodel.hpp.

◆ expectedConditionalLossInvP()

Real expectedConditionalLossInvP	(	const std::vector< Real > &	pDefDate,
		const std::vector< Real > &	mktFactor
	)		const

private

Definition at line 438 of file recursivelossmodel.hpp.

◆ resetModel()

void resetModel ( )

overrideprotectedvirtual

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

Implements DefaultLossModel.

Definition at line 191 of file recursivelossmodel.hpp.

◆ expectedTrancheLoss()

Real expectedTrancheLoss ( const Date & date ) const

overridevirtual

Reimplemented from DefaultLossModel.

Definition at line 131 of file recursivelossmodel.hpp.

◆ lossProbability()

std::vector< Real > lossProbability ( const Date & date ) const

Definition at line 178 of file recursivelossmodel.hpp.

◆ lossDistribution()

std::map< Real, Probability > lossDistribution ( const Date & ) const

overridevirtual

Full loss distribution.

Reimplemented from DefaultLossModel.

Definition at line 216 of file recursivelossmodel.hpp.

◆ percentile()

Real percentile	(	const Date &	d,
		Real	percentile
	)		const

overridevirtual

Value at Risk given a default loss percentile.

Reimplemented from DefaultLossModel.

Definition at line 233 of file recursivelossmodel.hpp.

◆ expectedShortfall()

Real expectedShortfall	(	const Date &	d,
		Real	percentile
	)		const

overridevirtual

Expected shortfall given a default loss percentile.

Reimplemented from DefaultLossModel.

Definition at line 262 of file recursivelossmodel.hpp.

Here is the call graph for this function:

Member Data Documentation

◆ copula_

const ext::shared_ptr<ConstantLossLatentmodel<copulaPolicy> > copula_

protected

Definition at line 106 of file recursivelossmodel.hpp.

◆ nBuckets_

const Size nBuckets_

private

Definition at line 109 of file recursivelossmodel.hpp.

◆ wk_

std::vector<Real> wk_

mutableprivate

Definition at line 110 of file recursivelossmodel.hpp.

◆ lossUnit_

Real lossUnit_

mutableprivate

Definition at line 111 of file recursivelossmodel.hpp.

◆ attachAmount_

Real attachAmount_

mutableprivate

name to name factor. In the single factor copula:

Definition at line 118 of file recursivelossmodel.hpp.

◆ detachAmount_

Real detachAmount_

private

Definition at line 119 of file recursivelossmodel.hpp.

◆ notional_

Real notional_

private

Definition at line 120 of file recursivelossmodel.hpp.

◆ remainingBsktSize_

Size remainingBsktSize_

mutableprivate

Definition at line 121 of file recursivelossmodel.hpp.

◆ notionals_

std::vector<Real> notionals_

mutableprivate

Definition at line 122 of file recursivelossmodel.hpp.

Public Member Functions

Protected Member Functions

Protected Attributes

Private Member Functions

Private Attributes

Detailed Description

Constructor & Destructor Documentation

◆ RecursiveLossModel()

Member Function Documentation

◆ conditionalLossDistrib()

◆ expectedConditionalLoss()

◆ conditionalLossProb()

◆ conditionalLossDistribInvP()

◆ expectedConditionalLossInvP()

◆ resetModel()

◆ expectedTrancheLoss()

◆ lossProbability()

◆ lossDistribution()

◆ percentile()

◆ expectedShortfall()

Member Data Documentation

◆ copula_

◆ nBuckets_

◆ wk_

◆ lossUnit_

◆ attachAmount_

◆ detachAmount_

◆ notional_

◆ remainingBsktSize_

◆ notionals_