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

Inheritance diagram for RandomDefaultLM< copulaPolicy, USNG >:

Collaboration diagram for RandomDefaultLM< copulaPolicy, USNG >:

Public Member Functions
	RandomDefaultLM (const ext::shared_ptr< DefaultLatentModel< copulaPolicy > > &model, const std::vector< Real > &recoveries=std::vector< Real >(), Size nSims=0, Real accuracy=1.e-6, BigNatural seed=2863311530UL)

	RandomDefaultLM (const ext::shared_ptr< ConstantLossLatentmodel< copulaPolicy > > &model, 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	expectedRecovery (const Date &, Size iName, const DefaultProbKey &) const override

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

Size	basketSize () 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...

Private Types
typedef simEvent< RandomDefaultLM >	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< DefaultLatentModel< copulaPolicy > >	model_

const std::vector< Real >	recoveries_

Real	accuracy_

std::vector< Probability >	horizonDefaultPs_

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

Random default with deterministic recovery event type.

: Stores sims results in a bitfield buffer for lean memory storage. Although strictly speaking this is not guaranteed by the compiler it amounts to reducing the memory storage by half. Some computations, like conditional statistics, precise that all sims results be available.

Default only latent model simulation with trivially fixed recovery amounts.

Examples: BasketLosses.cpp.

Definition at line 806 of file randomdefaultlatentmodel.hpp.

Member Typedef Documentation

◆ defaultSimEvent

typedef simEvent<RandomDefaultLM> defaultSimEvent

private

Definition at line 809 of file randomdefaultlatentmodel.hpp.

Constructor & Destructor Documentation

◆ RandomDefaultLM() [1/2]

RandomDefaultLM	(	const ext::shared_ptr< DefaultLatentModel< copulaPolicy > > &	model,
		const std::vector< Real > &	recoveries = `std::vector<Real>()`,
		Size	nSims = `0`,
		Real	accuracy = `1.e-6`,
		BigNatural	seed = `2863311530UL`
	)

explicit

Definition at line 818 of file randomdefaultlatentmodel.hpp.

Here is the call graph for this function:

◆ RandomDefaultLM() [2/2]

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