QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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#include <binomiallossmodel.hpp>
Public Types | |
typedef LLM::copulaType | copulaType |
Public Member Functions | |
BinomialLossModel (ext::shared_ptr< LLM > copula) | |
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 | |
std::vector< Real > | expectedDistribution (const Date &date) const |
std::vector< Real > | lossPoints (const Date &) const |
attainable loss points this model provides More... | |
std::map< Real, Probability > | lossDistribution (const Date &d) const override |
Returns the cumulative full loss distribution. More... | |
Real | percentile (const Date &d, Real percentile) const override |
Loss level for this percentile. More... | |
Real | expectedShortfall (const Date &d, Real percentile) const override |
Expected shortfall given a default loss percentile. More... | |
Real | expectedTrancheLoss (const Date &d) const override |
Real | averageLoss (const Date &, const std::vector< Real > &reminingNots, const std::vector< Real > &) const |
Average loss per credit. More... | |
Real | condTrancheLoss (const Date &, const std::vector< Real > &lossVals, const std::vector< Real > &bsktNots, const std::vector< Probability > &uncondDefProbs, const std::vector< Real > &) const |
std::vector< Real > | expConditionalLgd (const Date &d, const std::vector< Real > &mktFactors) const |
std::vector< Real > | lossProbability (const Date &date, const std::vector< Real > &bsktNots, const std::vector< Real > &uncondDefProbInv, const std::vector< Real > &mktFactor) const |
Loss probability density conditional on the market factor value. More... | |
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 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< LLM > | copula_ |
Real | attachAmount_ |
Real | detachAmount_ |
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... | |
Binomial Defaultable Basket Loss Model
Definition at line 61 of file binomiallossmodel.hpp.
typedef LLM::copulaType copulaType |
Definition at line 63 of file binomiallossmodel.hpp.
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explicit |
Definition at line 64 of file binomiallossmodel.hpp.
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overrideprivatevirtual |
Concrete models do now any updates/inits they need on basket reset.
Implements DefaultLossModel.
Definition at line 67 of file binomiallossmodel.hpp.
Returns the probability of the default loss values given by the method lossPoints.
Definition at line 80 of file binomiallossmodel.hpp.
attainable loss points this model provides
Definition at line 272 of file binomiallossmodel.hpp.
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overrideprotectedvirtual |
Returns the cumulative full loss distribution.
Reimplemented from DefaultLossModel.
Definition at line 329 of file binomiallossmodel.hpp.
Loss level for this percentile.
Reimplemented from DefaultLossModel.
Definition at line 346 of file binomiallossmodel.hpp.
Expected shortfall given a default loss percentile.
Reimplemented from DefaultLossModel.
Definition at line 373 of file binomiallossmodel.hpp.
Reimplemented from DefaultLossModel.
Definition at line 312 of file binomiallossmodel.hpp.
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Average loss per credit.
Definition at line 247 of file binomiallossmodel.hpp.
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Definition at line 292 of file binomiallossmodel.hpp.
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Definition at line 112 of file binomiallossmodel.hpp.
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Loss probability density conditional on the market factor value.
Definition at line 147 of file binomiallossmodel.hpp.
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Definition at line 133 of file binomiallossmodel.hpp.
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mutableprotected |
Definition at line 137 of file binomiallossmodel.hpp.
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protected |
Definition at line 137 of file binomiallossmodel.hpp.