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| ConstantLossLatentmodel (const std::vector< std::vector< Real > > &factorWeights, const std::vector< Real > &recoveries, LatentModelIntegrationType::LatentModelIntegrationType integralType, const initTraits &ini=initTraits()) |
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| ConstantLossLatentmodel (const Handle< Quote > &mktCorrel, const std::vector< Real > &recoveries, LatentModelIntegrationType::LatentModelIntegrationType integralType, Size nVariables, const initTraits &ini=initTraits()) |
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Real | conditionalRecovery (const Date &d, Size iName, const std::vector< Real > &mktFactors) const |
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Real | conditionalRecovery (Probability uncondDefP, Size iName, const std::vector< Real > &mktFactors) const |
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Real | conditionalRecoveryInvP (Real invUncondDefP, Size iName, const std::vector< Real > &mktFactors) const |
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Real | conditionalRecovery (Real latentVarSample, Size iName, const Date &d) const |
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const std::vector< Real > & | recoveries () const |
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Real | expectedRecovery (const Date &d, Size iName, const DefaultProbKey &defKeys) const |
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| DefaultLatentModel (const std::vector< std::vector< Real > > &factorWeights, LatentModelIntegrationType::LatentModelIntegrationType integralType, const initTraits &ini=initTraits()) |
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| DefaultLatentModel (const Handle< Quote > &mktCorrel, Size nVariables, LatentModelIntegrationType::LatentModelIntegrationType integralType, const initTraits &ini=initTraits()) |
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void | resetBasket (const ext::shared_ptr< Basket > &basket) const |
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Probability | conditionalDefaultProbability (Probability prob, Size iName, const std::vector< Real > &mktFactors) const |
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Probability | conditionalDefaultProbabilityInvP (Real invCumYProb, Size iName, const std::vector< Real > &m) const |
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Probability | probOfDefault (Size iName, const Date &d) const |
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Real | defaultCorrelation (const Date &d, Size iNamei, Size iNamej) const |
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Probability | probAtLeastNEvents (Size n, const Date &date) const |
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void | update () override |
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Size | size () const |
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Size | numFactors () const |
| Number of systemic factors. More...
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Size | numTotalFactors () const |
| Number of total free random factors; systemic and idiosyncratic. More...
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| LatentModel (const std::vector< std::vector< Real > > &factorsWeights, const typename copulaType::initTraits &ini=typename copulaType::initTraits()) |
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| LatentModel (const std::vector< Real > &factorsWeight, const typename copulaType::initTraits &ini=typename copulaType::initTraits()) |
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| LatentModel (Real correlSqr, Size nVariables, const typename copulaType::initTraits &ini=typename copulaType::initTraits()) |
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| LatentModel (const Handle< Quote > &singleFactorCorrel, Size nVariables, const typename copulaType::initTraits &ini=typename copulaType::initTraits()) |
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const std::vector< std::vector< Real > > & | factorWeights () const |
| Provides values of the factors \( a_{i,k} \). More...
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const std::vector< Real > & | idiosyncFctrs () const |
| Provides values of the normalized idiosyncratic factors \( Z_i \). More...
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Real | latentVariableCorrel (Size iVar1, Size iVar2) const |
| Latent variable correlations: More...
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Probability | cumulativeY (Real val, Size iVariable) const |
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Probability | cumulativeZ (Real z) const |
| Cumulative distribution of Z, the idiosyncratic/error factors. More...
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Probability | density (const std::vector< Real > &m) const |
| Density function of M, the market/systemic factors. More...
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Real | inverseCumulativeDensity (Probability p, Size iFactor) const |
| Inverse cumulative distribution of the systemic factor iFactor. More...
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Real | inverseCumulativeY (Probability p, Size iVariable) const |
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Real | inverseCumulativeZ (Probability p) const |
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std::vector< Real > | allFactorCumulInverter (const std::vector< Real > &probs) const |
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Real | latentVarValue (const std::vector< Real > &allFactors, Size iVar) const |
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const copulaType & | copula () const |
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Real | integratedExpectedValue (const ext::function< Real(const std::vector< Real > &v1)> &f) const |
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std::vector< Real > | integratedExpectedValueV (const ext::function< std::vector< Real >(const std::vector< Real > &v1)> &f) const |
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| Observer ()=default |
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| Observer (const Observer &) |
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Observer & | operator= (const Observer &) |
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virtual | ~Observer () |
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std::pair< iterator, bool > | registerWith (const ext::shared_ptr< Observable > &) |
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void | registerWithObservables (const ext::shared_ptr< Observer > &) |
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Size | unregisterWith (const ext::shared_ptr< Observable > &) |
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void | unregisterWithAll () |
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virtual void | update ()=0 |
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virtual void | deepUpdate () |
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| Observable () |
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| Observable (const Observable &) |
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Observable & | operator= (const Observable &) |
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| Observable (Observable &&)=delete |
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Observable & | operator= (Observable &&)=delete |
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virtual | ~Observable ()=default |
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void | notifyObservers () |
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template<class
copulaPolicy>
class QuantLib::ConstantLossLatentmodel< copulaPolicy >
Constant deterministic loss amount default latent model. Integrable implementation.
Definition at line 38 of file constantlosslatentmodel.hpp.