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

Inheritance diagram for RandomLM< derivedRandomLM, copulaPolicy, USNG >:

Collaboration diagram for RandomLM< derivedRandomLM, copulaPolicy, USNG >:

Protected Member Functions
	RandomLM (Size numFactors, Size numLMVars, copulaPolicy copula, Size nSims, BigNatural seed)

void	update () override

void	performCalculations () const override

void	performSimulations () const

const std::vector< simEvent< derivedRandomLM< copulaPolicy, USNG > > > &	getSim (const Size iSim) const

Real	getEventRecovery (const simEvent< derivedRandomLM< copulaPolicy, USNG > > &evt) const

Protected Member Functions inherited from LazyObject
virtual void	calculate () const

Protected Member Functions inherited from DefaultLossModel
	DefaultLossModel ()=default

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

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

Private Types
typedef LatentModel< copulaPolicy >::template FactorSampler< USNG >	copulaRNG_type

Statistics, DefaultLossModel interface.
BigNatural	seed_

const Size	numFactors_

const Size	numLMVars_

const Size	nSims_

std::vector< std::vector< simEvent< derivedRandomLM< copulaPolicy, USNG > > > >	simsBuffer_

copulaPolicy	copula_

ext::shared_ptr< copulaRNG_type >	copulasRng_

static const Size	maxHorizon_ = 4050

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

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

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

Real	expectedTrancheLoss (const Date &d) const override

virtual std::pair< Real, Real >	expectedTrancheLossInterval (const Date &d, Probability confidencePerc) const

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

virtual Histogram	computeHistogram (const Date &d) const

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

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

virtual ext::tuple< Real, Real, Real >	percentileAndInterval (const Date &d, Real percentile) const

std::vector< Real >	splitVaRLevel (const Date &date, Real loss) const override

virtual std::vector< std::vector< Real > >	splitVaRAndError (const Date &date, Real loss, Probability confInterval) const

	~RandomLM () override=default

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator

Public Member Functions inherited from LazyObject
	LazyObject ()

	~LazyObject () override=default

void	update () override

bool	isCalculated () const

void	forwardFirstNotificationOnly ()

void	alwaysForwardNotifications ()

void	recalculate ()

void	freeze ()

void	unfreeze ()

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 ()

Public Member Functions inherited from Observer
	Observer ()=default

	Observer (const Observer &)

Observer &	operator= (const Observer &)

virtual	~Observer ()

std::pair< iterator, bool >	registerWith (const ext::shared_ptr< Observable > &)

void	registerWithObservables (const ext::shared_ptr< Observer > &)

Size	unregisterWith (const ext::shared_ptr< Observable > &)

void	unregisterWithAll ()

virtual void	update ()=0

virtual void	deepUpdate ()

Protected Attributes inherited from LazyObject
bool	calculated_ = false

bool	frozen_ = false

bool	alwaysForward_

Protected Attributes inherited from DefaultLossModel
RelinkableHandle< Basket >	basket_

Detailed Description

template<template< class, class > class derivedRandomLM, class copulaPolicy, class USNG = SobolRsg>
class QuantLib::RandomLM< derivedRandomLM, copulaPolicy, USNG >

Base class for latent model monte carlo simulation. Independent of the copula type and the generator. Generates the factors and variable samples and determines event threshold but it is not responsible for actual event specification; thats the derived classes responsibility according to what they model. Derived classes need mainly to implement nextSample (Worker::nextSample in the multithreaded version) to compute the simulation event generated, if any, from the latent variables sample. They also have the accompanying event trait to specify.

Definition at line 96 of file randomdefaultlatentmodel.hpp.

Member Typedef Documentation

◆ copulaRNG_type

typedef LatentModel<copulaPolicy>::template FactorSampler<USNG> copulaRNG_type

private

Definition at line 102 of file randomdefaultlatentmodel.hpp.

Constructor & Destructor Documentation

◆ RandomLM()

RandomLM	(	Size	numFactors,
		Size	numLMVars,
		copulaPolicy	copula,
		Size	nSims,
		BigNatural	seed
	)

protected

Definition at line 104 of file randomdefaultlatentmodel.hpp.

◆ ~RandomLM()

~RandomLM ( )

overridedefault

Member Function Documentation

◆ update()

void update ( )

overrideprotectedvirtual

This method must be implemented in derived classes. An instance of Observer does not call this method directly: instead, it will be called by the observables the instance registered with when they need to notify any changes.

Implements Observer.

Definition at line 108 of file randomdefaultlatentmodel.hpp.

Here is the call graph for this function:

◆ performCalculations()

void performCalculations ( ) const

overrideprotectedvirtual

This method must implement any calculations which must be (re)done in order to calculate the desired results.

Implements LazyObject.

Definition at line 116 of file randomdefaultlatentmodel.hpp.

Here is the call graph for this function:

◆ performSimulations()

void performSimulations ( ) const

protected

Definition at line 123 of file randomdefaultlatentmodel.hpp.

Here is the caller graph for this function:

◆ getSim()

const std::vector< simEvent< derivedRandomLM< copulaPolicy, USNG > > > & getSim ( const Size iSim ) const

protected

Definition at line 141 of file randomdefaultlatentmodel.hpp.

◆ getEventRecovery()

Real getEventRecovery ( const simEvent< derivedRandomLM< copulaPolicy, USNG > > & evt ) const

protected

Definition at line 145 of file randomdefaultlatentmodel.hpp.

Here is the call graph for this function:

Here is the caller graph for this function:

◆ probAtLeastNEvents()

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

overrideprotectedvirtual

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 227 of file randomdefaultlatentmodel.hpp.

Here is the call graph for this function:

◆ probsBeingNthEvent()

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

overrideprotectedvirtual

Order of results refers to the simulated (super)pool not the basket's pool. Notice that this statistic suffers from heavy dispersion. To see techniques to improve it (not implemented here) see: Joshi, M., D. Kainth. 2004. Rapid and accurate development of prices and Greeks for nth to default credit swaps in the Li model. Quantitative Finance, Vol. 4. Institute of Physics Publishing, London, UK, 266-275 and: Chen, Z., Glasserman, P. 'Fast pricing of basket default swaps' in Operations Research Vol. 56, No. 2, March/April 2008, pp. 286-303

Reimplemented from DefaultLossModel.

Definition at line 254 of file randomdefaultlatentmodel.hpp.

Here is the call graph for this function: