CreditRiskPlus Class Reference

#include <creditriskplus.hpp>

Collaboration diagram for CreditRiskPlus:

Public Member Functions
	CreditRiskPlus (std::vector< Real > exposure, std::vector< Real > defaultProbability, std::vector< Size > sector, std::vector< Real > relativeDefaultVariance, Matrix correlation, Real unit)
const std::vector< Real > &	loss ()
const std::vector< Real > &	marginalLoss ()
Real	exposure () const
Real	expectedLoss () const
Real	unexpectedLoss () const
Real	relativeDefaultVariance () const
const std::vector< Real > &	sectorExposures () const
const std::vector< Real > &	sectorExpectedLoss () const
const std::vector< Real > &	sectorUnexpectedLoss () const
Real	lossQuantile (Real p)

Private Member Functions
void	compute ()

Private Attributes
const std::vector< Real >	exposure_
const std::vector< Real >	pd_
const std::vector< Size >	sector_
const std::vector< Real >	relativeDefaultVariance_
const Matrix	correlation_
const Real	unit_
Size	n_
Size	m_
std::vector< Real >	sectorExposure_
std::vector< Real >	sectorEl_
std::vector< Real >	sectorUl_
std::vector< Real >	marginalLoss_
std::vector< Real >	loss_
Real	exposureSum_
Real	el_
Real	el2_
Real	ul_
unsigned long	upperIndex_

Detailed Description

Extended CreditRisk+ model as described in [1] Integrating Correlations, Risk, July 1999 and the references therein.

Warning:

the input correlation matrix is not checked for positive definiteness

Definition at line 42 of file creditriskplus.hpp.

Constructor & Destructor Documentation

CreditRiskPlus()

CreditRiskPlus	(	std::vector< Real >	exposure,
		std::vector< Real >	defaultProbability,
		std::vector< Size >	sector,
		std::vector< Real >	relativeDefaultVariance,
		Matrix	correlation,
		Real	unit
	)

Definition at line 28 of file creditriskplus.cpp.

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Member Function Documentation

loss()

const std::vector< Real > & loss

(

)

Definition at line 52 of file creditriskplus.hpp.

marginalLoss()

const std::vector< Real > & marginalLoss

(

)

Definition at line 53 of file creditriskplus.hpp.

exposure()

Real exposure

(

)

const

Definition at line 55 of file creditriskplus.hpp.

expectedLoss()

Real expectedLoss

(

)

const

Definition at line 56 of file creditriskplus.hpp.

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unexpectedLoss()

Real unexpectedLoss

(

)

const

Definition at line 57 of file creditriskplus.hpp.

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relativeDefaultVariance()

Real relativeDefaultVariance

(

)

const

Definition at line 58 of file creditriskplus.hpp.

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sectorExposures()

const std::vector< Real > & sectorExposures

(

)

const

Definition at line 63 of file creditriskplus.hpp.

sectorExpectedLoss()

const std::vector< Real > & sectorExpectedLoss

(

)

const

Definition at line 66 of file creditriskplus.hpp.

sectorUnexpectedLoss()

const std::vector< Real > & sectorUnexpectedLoss

(

)

const

Definition at line 69 of file creditriskplus.hpp.

lossQuantile()

Real lossQuantile

(

Real

p

)

Definition at line 83 of file creditriskplus.cpp.

compute()

void compute ( )

private

Definition at line 103 of file creditriskplus.cpp.

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Member Data Documentation

exposure_

const std::vector<Real> exposure_

private

Definition at line 77 of file creditriskplus.hpp.

pd_

const std::vector<Real> pd_

private

Definition at line 78 of file creditriskplus.hpp.

sector_

const std::vector<Size> sector_

private

Definition at line 79 of file creditriskplus.hpp.

relativeDefaultVariance_

const std::vector<Real> relativeDefaultVariance_

private

Definition at line 80 of file creditriskplus.hpp.

correlation_

const Matrix correlation_

private

Definition at line 81 of file creditriskplus.hpp.

unit_

const Real unit_

private

Definition at line 82 of file creditriskplus.hpp.

n_

Size n_

private

Definition at line 84 of file creditriskplus.hpp.

m_

Size m_

private

Definition at line 84 of file creditriskplus.hpp.

sectorExposure_

std::vector<Real> sectorExposure_

private

Definition at line 86 of file creditriskplus.hpp.

sectorEl_

std::vector<Real> sectorEl_

private

Definition at line 86 of file creditriskplus.hpp.

sectorUl_

std::vector<Real> sectorUl_

private

Definition at line 86 of file creditriskplus.hpp.

marginalLoss_

std::vector<Real> marginalLoss_

private

Definition at line 86 of file creditriskplus.hpp.

loss_

std::vector<Real> loss_

private

Definition at line 87 of file creditriskplus.hpp.

exposureSum_

Real exposureSum_

private

Definition at line 89 of file creditriskplus.hpp.

el_

Real el_

private

Definition at line 89 of file creditriskplus.hpp.

el2_

Real el2_

private

Definition at line 89 of file creditriskplus.hpp.

ul_

Real ul_

private

Definition at line 89 of file creditriskplus.hpp.

upperIndex_

unsigned long upperIndex_

private

Definition at line 90 of file creditriskplus.hpp.