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

Inheritance diagram for DefaultLossModel:

Collaboration diagram for DefaultLossModel:

Protected Member Functions
	DefaultLossModel ()=default

Protected Attributes
RelinkableHandle< Basket >	basket_

Friends
class	Basket

Statistics
virtual Real	expectedTrancheLoss (const Date &d) const

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

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

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

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

void	setBasket (Basket *bskt)

virtual void	resetModel ()=0
	Concrete models do now any updates/inits they need on basket reset. More...

Additional Inherited Members
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 ()

Detailed Description

Default loss model interface definition. Allows communication between the basket and specific algorithms. Intended to hold any kind of portfolio joint loss, latent models, top-down,....

An inconvenience of this design as opposed to the full arguments/results is that when pricing several derivatives instruments on the same basket not all the pricing engines would point to the same loss model; thus when pricing a set of such instruments there might be some switching on the basket loss models, which might require recalculations (of the basket) or not depending on the pricing order.

Definition at line 48 of file defaultlossmodel.hpp.

Constructor & Destructor Documentation

◆ DefaultLossModel()

DefaultLossModel ( )

protecteddefault

Member Function Documentation

◆ expectedTrancheLoss()

virtual Real expectedTrancheLoss ( const Date & d ) const

protectedvirtual

Reimplemented in BaseCorrelationLossModel< BaseModel_T, Corr2DInt_T >, BinomialLossModel< LLM >, GaussianLHPLossModel, HomogeneousPoolLossModel< copulaPolicy >, InhomogeneousPoolLossModel< copulaPolicy >, RandomLM< derivedRandomLM, copulaPolicy, USNG >, RandomLM< RandomDefaultLM, copulaPolicy, SobolRsg >, RandomLM< RandomLossLM, copulaPolicy, SobolRsg >, SaddlePointLossModel< CP >, and RecursiveLossModel< copulaPolicy >.

Definition at line 67 of file defaultlossmodel.hpp.

◆ probOverLoss()

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

protectedvirtual

Probability of the tranche losing the same or more than the fractional amount given.

The passed lossFraction is a fraction of losses over the tranche notional (not the portfolio).

Reimplemented in GaussianLHPLossModel, and SaddlePointLossModel< CP >.

Definition at line 76 of file defaultlossmodel.hpp.

◆ percentile()

virtual Real percentile	(	const Date &	d,
		Real	percentile
	)		const

protectedvirtual

Value at Risk given a default loss percentile.

Reimplemented in SaddlePointLossModel< CP >, BinomialLossModel< LLM >, HomogeneousPoolLossModel< copulaPolicy >, InhomogeneousPoolLossModel< copulaPolicy >, RandomLM< derivedRandomLM, copulaPolicy, USNG >, RandomLM< RandomDefaultLM, copulaPolicy, SobolRsg >, RandomLM< RandomLossLM, copulaPolicy, SobolRsg >, RecursiveLossModel< copulaPolicy >, and GaussianLHPLossModel.

Definition at line 81 of file defaultlossmodel.hpp.

◆ expectedShortfall()

virtual Real expectedShortfall	(	const Date &	d,
		Real	percentile
	)		const

protectedvirtual

Expected shortfall given a default loss percentile.

Reimplemented in HomogeneousPoolLossModel< copulaPolicy >, InhomogeneousPoolLossModel< copulaPolicy >, SaddlePointLossModel< CP >, GaussianLHPLossModel, RandomLM< derivedRandomLM, copulaPolicy, USNG >, RandomLM< RandomDefaultLM, copulaPolicy, SobolRsg >, RandomLM< RandomLossLM, copulaPolicy, SobolRsg >, BinomialLossModel< LLM >, and RecursiveLossModel< copulaPolicy >.

Definition at line 85 of file defaultlossmodel.hpp.

◆ splitVaRLevel()

virtual std::vector< Real > splitVaRLevel	(	const Date &	d,
		Real	loss
	)		const

protectedvirtual

Associated VaR fraction to each counterparty.

Reimplemented in RandomLM< derivedRandomLM, copulaPolicy, USNG >, RandomLM< RandomDefaultLM, copulaPolicy, SobolRsg >, RandomLM< RandomLossLM, copulaPolicy, SobolRsg >, and SaddlePointLossModel< CP >.

Definition at line 89 of file defaultlossmodel.hpp.

◆ splitESFLevel()

virtual std::vector< Real > splitESFLevel	(	const Date &	d,
		Real	loss
	)		const

protectedvirtual

Associated ESF fraction to each counterparty.

Definition at line 93 of file defaultlossmodel.hpp.

◆ lossDistribution()

virtual std::map< Real, Probability > lossDistribution ( const Date & ) const

protectedvirtual

Full loss distribution.

Reimplemented in BinomialLossModel< LLM >, RandomLM< derivedRandomLM, copulaPolicy, USNG >, RandomLM< RandomDefaultLM, copulaPolicy, SobolRsg >, RandomLM< RandomLossLM, copulaPolicy, SobolRsg >, RecursiveLossModel< copulaPolicy >, and SaddlePointLossModel< CP >.

Definition at line 100 of file defaultlossmodel.hpp.

◆ densityTrancheLoss()

virtual Real densityTrancheLoss	(	const Date &	d,
		Real	lossFraction
	)		const

protectedvirtual

Probability density of a given loss fraction of the basket notional.

Definition at line 104 of file defaultlossmodel.hpp.

◆ probsBeingNthEvent()

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

protectedvirtual

Probabilities for each of the (remaining) basket elements in the pool to have defaulted by time d and at the same time be the Nth defaulting name to default in the basket. This method is oriented to default order dependent portfolio pricing (e.g. NTDs) The the probabilities ordering in the vector coincides with the pool order.

Reimplemented in RandomLM< derivedRandomLM, copulaPolicy, USNG >, RandomLM< RandomDefaultLM, copulaPolicy, SobolRsg >, and RandomLM< RandomLossLM, copulaPolicy, SobolRsg >.

Definition at line 115 of file defaultlossmodel.hpp.

◆ defaultCorrelation()

virtual Real defaultCorrelation	(	const Date &	d,
		Size	iName,
		Size	jName
	)		const

protectedvirtual

Pearsons' default probability correlation.

Reimplemented in ConstantLossModel< copulaPolicy >, RandomLM< derivedRandomLM, copulaPolicy, USNG >, RandomLM< RandomDefaultLM, copulaPolicy, SobolRsg >, and RandomLM< RandomLossLM, copulaPolicy, SobolRsg >.

Definition at line 119 of file defaultlossmodel.hpp.

◆ probAtLeastNEvents()

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

protectedvirtual

Returns the probaility of having a given or larger number of defaults in the basket portfolio at a given time.

Reimplemented in ConstantLossModel< copulaPolicy >, RandomLM< derivedRandomLM, copulaPolicy, USNG >, RandomLM< RandomDefaultLM, copulaPolicy, SobolRsg >, and RandomLM< RandomLossLM, copulaPolicy, SobolRsg >.

Definition at line 126 of file defaultlossmodel.hpp.

◆ expectedRecovery()

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

protectedvirtual

Expected RR for name conditinal to default by that date.

Reimplemented in RandomDefaultLM< copulaPolicy, USNG >, GaussianLHPLossModel, and ConstantLossModel< copulaPolicy >.

Definition at line 131 of file defaultlossmodel.hpp.

◆ setBasket()

void setBasket ( Basket * bskt )

private

Send a reference to the basket to allow the model to read the problem arguments (contained in the basket)

Definition at line 141 of file defaultlossmodel.hpp.

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◆ resetModel()

virtual void resetModel ( )

privatepure virtual

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

Implemented in BaseCorrelationLossModel< BaseModel_T, Corr2DInt_T >, BinomialLossModel< LLM >, ConstantLossModel< copulaPolicy >, GaussianLHPLossModel, HomogeneousPoolLossModel< copulaPolicy >, InhomogeneousPoolLossModel< copulaPolicy >, RandomDefaultLM< copulaPolicy, USNG >, RandomLossLM< copulaPolicy, USNG >, RecursiveLossModel< copulaPolicy >, and SaddlePointLossModel< CP >.

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Friends And Related Function Documentation

◆ Basket

friend class Basket

friend

Definition at line 53 of file defaultlossmodel.hpp.

Member Data Documentation

◆ basket_

RelinkableHandle<Basket> basket_

mutableprotected

Definition at line 56 of file defaultlossmodel.hpp.

Protected Member Functions

Protected Attributes

Friends

Statistics

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ DefaultLossModel()

Member Function Documentation

◆ expectedTrancheLoss()

◆ probOverLoss()

◆ percentile()

◆ expectedShortfall()

◆ splitVaRLevel()

◆ splitESFLevel()

◆ lossDistribution()

◆ densityTrancheLoss()

◆ probsBeingNthEvent()

◆ defaultCorrelation()

◆ probAtLeastNEvents()

◆ expectedRecovery()

◆ setBasket()

◆ resetModel()

Friends And Related Function Documentation

◆ Basket

Member Data Documentation

◆ basket_