QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Default loss distribution convolution for finite homogeneous pool. More...
#include <homogeneouspooldef.hpp>
Public Member Functions | |
HomogeneousPoolLossModel (const ext::shared_ptr< ConstantLossLatentmodel< copulaPolicy > > &copula, Size nBuckets, Real max=5., Real min=-5., Size nSteps=50) | |
Real | expectedTrancheLoss (const Date &d) const override |
Real | percentile (const Date &d, Real percentile) const override |
Value at Risk given a default loss percentile. More... | |
Real | expectedShortfall (const Date &d, Probability percentile) 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 | |
Distribution | lossDistrib (const Date &d) const |
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 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 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_ |
Size | nBuckets_ |
Real | attach_ |
Real | detach_ |
Real | notional_ |
Real | attachAmount_ |
Real | detachAmount_ |
std::vector< Real > | notionals_ |
Protected Attributes inherited from DefaultLossModel | |
RelinkableHandle< Basket > | basket_ |
Private Member Functions | |
void | resetModel () override |
Concrete models do now any updates/inits they need on basket reset. More... | |
Private Attributes | |
const Real | max_ |
const Real | min_ |
const Size | nSteps_ |
const Real | delta_ |
Default loss distribution convolution for finite homogeneous pool.
Definition at line 43 of file homogeneouspooldef.hpp.
HomogeneousPoolLossModel | ( | const ext::shared_ptr< ConstantLossLatentmodel< copulaPolicy > > & | copula, |
Size | nBuckets, | ||
Real | max = 5. , |
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Real | min = -5. , |
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Size | nSteps = 50 |
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) |
Definition at line 48 of file homogeneouspooldef.hpp.
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overrideprivatevirtual |
Concrete models do now any updates/inits they need on basket reset.
Implements DefaultLossModel.
Definition at line 106 of file homogeneouspooldef.hpp.
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protected |
Definition at line 123 of file homogeneouspooldef.hpp.
Reimplemented from DefaultLossModel.
Definition at line 65 of file homogeneouspooldef.hpp.
Value at Risk given a default loss percentile.
Reimplemented from DefaultLossModel.
Definition at line 74 of file homogeneouspooldef.hpp.
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overridevirtual |
Expected shortfall given a default loss percentile.
Reimplemented from DefaultLossModel.
Definition at line 78 of file homogeneouspooldef.hpp.
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protected |
Definition at line 85 of file homogeneouspooldef.hpp.
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protected |
Definition at line 86 of file homogeneouspooldef.hpp.
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mutableprotected |
Definition at line 87 of file homogeneouspooldef.hpp.
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protected |
Definition at line 87 of file homogeneouspooldef.hpp.
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protected |
Definition at line 87 of file homogeneouspooldef.hpp.
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protected |
Definition at line 87 of file homogeneouspooldef.hpp.
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protected |
Definition at line 87 of file homogeneouspooldef.hpp.
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mutableprotected |
Definition at line 88 of file homogeneouspooldef.hpp.
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private |
Definition at line 93 of file homogeneouspooldef.hpp.
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private |
Definition at line 94 of file homogeneouspooldef.hpp.
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private |
Definition at line 95 of file homogeneouspooldef.hpp.
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private |
Definition at line 96 of file homogeneouspooldef.hpp.