#include <randomlosslatentmodel.hpp>

Inheritance diagram for RandomLossLM< copulaPolicy, USNG >:

Collaboration diagram for RandomLossLM< copulaPolicy, USNG >:

Public Member Functions
	RandomLossLM (const ext::shared_ptr< SpotRecoveryLatentModel< copulaPolicy > > &copula, Size nSims=0, Real accuracy=1.e-6, BigNatural seed=2863311530UL)

Public Member Functions inherited from RandomLM< derivedRandomLM, copulaPolicy, USNG >
	~RandomLM () override=default

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 Member Functions
void	nextSample (const std::vector< Real > &values) const

void	initDates () const

Real	getEventRecovery (const defaultSimEvent &evt) const

Real	latentVarValue (const std::vector< Real > &factorsSample, Size iVar) const

Size	basketSize () const

Real	conditionalRecovery (Real latentVarSample, Size iName, const Date &d) const

Protected Member Functions inherited from RandomLM< derivedRandomLM, copulaPolicy, USNG >
	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

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

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 simEvent< RandomLossLM >	defaultSimEvent

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

Private Attributes
const ext::shared_ptr< SpotRecoveryLatentModel< copulaPolicy > >	copula_

Real	accuracy_

std::vector< Probability >	horizonDefaultPs_

Friends
class	RandomLM< ::QuantLib::RandomLossLM, copulaPolicy, USNG >

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

Protected Attributes inherited from RandomLM< derivedRandomLM, copulaPolicy, USNG >
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_

Protected Attributes inherited from LazyObject
bool	calculated_ = false

bool	frozen_ = false

bool	alwaysForward_

Protected Attributes inherited from DefaultLossModel
RelinkableHandle< Basket >	basket_

Static Protected Attributes inherited from RandomLM< derivedRandomLM, copulaPolicy, USNG >
static const Size	maxHorizon_ = 4050

Detailed Description

template<class copulaPolicy, class USNG = SobolRsg>
class QuantLib::RandomLossLM< copulaPolicy, USNG >

Random spot recovery rate loss model simulation for an arbitrary copula.

Definition at line 71 of file randomlosslatentmodel.hpp.

Member Typedef Documentation

◆ defaultSimEvent

typedef simEvent<RandomLossLM> defaultSimEvent

private

Definition at line 74 of file randomlosslatentmodel.hpp.

Constructor & Destructor Documentation

◆ RandomLossLM()

RandomLossLM	(	const ext::shared_ptr< SpotRecoveryLatentModel< copulaPolicy > > &	copula,
		Size	nSims = `0`,
		Real	accuracy = `1.e-6`,
		BigNatural	seed = `2863311530UL`
	)

explicit

Definition at line 80 of file randomlosslatentmodel.hpp.

Member Function Documentation

◆ nextSample()

void nextSample ( const std::vector< Real > & values ) const

protected

Definition at line 157 of file randomlosslatentmodel.hpp.

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◆ initDates()

void initDates ( ) const

protected

Definition at line 107 of file randomlosslatentmodel.hpp.

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◆ getEventRecovery()

Real getEventRecovery ( const defaultSimEvent & evt ) const

protected

Definition at line 121 of file randomlosslatentmodel.hpp.

◆ latentVarValue()

Real latentVarValue	(	const std::vector< Real > &	factorsSample,
		Size	iVar
	)		const

protected

Definition at line 125 of file randomlosslatentmodel.hpp.

◆ basketSize()

Size basketSize ( ) const

protected

Definition at line 129 of file randomlosslatentmodel.hpp.

◆ conditionalRecovery()

Real conditionalRecovery	(	Real	latentVarSample,
		Size	iName,
		const Date &	d
	)		const

protected

◆ resetModel()

void resetModel ( )

overrideprivatevirtual

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

Implements DefaultLossModel.

Definition at line 134 of file randomlosslatentmodel.hpp.

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Friends And Related Function Documentation

◆ RandomLM< ::QuantLib::RandomLossLM, copulaPolicy, USNG >

friend class RandomLM< ::QuantLib::RandomLossLM, copulaPolicy, USNG >

friend

Definition at line 80 of file randomlosslatentmodel.hpp.

Member Data Documentation

◆ copula_

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

private

Definition at line 76 of file randomlosslatentmodel.hpp.

◆ accuracy_

Real accuracy_

private

Definition at line 78 of file randomlosslatentmodel.hpp.

◆ horizonDefaultPs_

std::vector<Probability> horizonDefaultPs_

mutableprivate

Definition at line 149 of file randomlosslatentmodel.hpp.

Public Member Functions

Protected Member Functions

Private Types

Private Member Functions

Private Attributes

Friends

Additional Inherited Members

Detailed Description

Member Typedef Documentation

◆ defaultSimEvent

Constructor & Destructor Documentation

◆ RandomLossLM()

Member Function Documentation

◆ nextSample()

◆ initDates()

◆ getEventRecovery()

◆ latentVarValue()

◆ basketSize()

◆ conditionalRecovery()

◆ resetModel()

Friends And Related Function Documentation

◆ RandomLM< ::QuantLib::RandomLossLM, copulaPolicy, USNG >

Member Data Documentation

◆ copula_

◆ accuracy_

◆ horizonDefaultPs_