ConstantLossLatentmodel< copulaPolicy > Class Template Reference

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

Inheritance diagram for ConstantLossLatentmodel< copulaPolicy >:

Public Member Functions
	ConstantLossLatentmodel (const std::vector< std::vector< Real > > &factorWeights, const std::vector< Real > &recoveries, LatentModelIntegrationType::LatentModelIntegrationType integralType, const initTraits &ini=initTraits())
	ConstantLossLatentmodel (const Handle< Quote > &mktCorrel, const std::vector< Real > &recoveries, LatentModelIntegrationType::LatentModelIntegrationType integralType, Size nVariables, const initTraits &ini=initTraits())
Real	conditionalRecovery (const Date &d, Size iName, const std::vector< Real > &mktFactors) const
Real	conditionalRecovery (Probability uncondDefP, Size iName, const std::vector< Real > &mktFactors) const
Real	conditionalRecoveryInvP (Real invUncondDefP, Size iName, const std::vector< Real > &mktFactors) const
Real	conditionalRecovery (Real latentVarSample, Size iName, const Date &d) const
const std::vector< Real > &	recoveries () const
Real	expectedRecovery (const Date &d, Size iName, const DefaultProbKey &defKeys) const
Public Member Functions inherited from DefaultLatentModel< copulaPolicy >
	DefaultLatentModel (const std::vector< std::vector< Real > > &factorWeights, LatentModelIntegrationType::LatentModelIntegrationType integralType, const initTraits &ini=initTraits())
	DefaultLatentModel (const Handle< Quote > &mktCorrel, Size nVariables, LatentModelIntegrationType::LatentModelIntegrationType integralType, const initTraits &ini=initTraits())
void	resetBasket (const ext::shared_ptr< Basket > &basket) const
Probability	conditionalDefaultProbability (Probability prob, Size iName, const std::vector< Real > &mktFactors) const
Probability	conditionalDefaultProbabilityInvP (Real invCumYProb, Size iName, const std::vector< Real > &m) const
Probability	probOfDefault (Size iName, const Date &d) const
Real	defaultCorrelation (const Date &d, Size iNamei, Size iNamej) const
Probability	probAtLeastNEvents (Size n, const Date &date) const
Public Member Functions inherited from LatentModel< copulaPolicy >
void	update () override
Size	size () const
Size	numFactors () const
	Number of systemic factors.
Size	numTotalFactors () const
	Number of total free random factors; systemic and idiosyncratic.
	LatentModel (const std::vector< std::vector< Real > > &factorsWeights, const typename copulaType::initTraits &ini=typename copulaType::initTraits())
const std::vector< std::vector< Real > > &	factorWeights () const
	Provides values of the factors \( a_{i,k} \).
const std::vector< Real > &	idiosyncFctrs () const
	Provides values of the normalized idiosyncratic factors \( Z_i \).
Real	latentVariableCorrel (Size iVar1, Size iVar2) const
	Latent variable correlations:
Probability	cumulativeY (Real val, Size iVariable) const
Probability	cumulativeZ (Real z) const
	Cumulative distribution of Z, the idiosyncratic/error factors.
Probability	density (const std::vector< Real > &m) const
	Density function of M, the market/systemic factors.
Real	inverseCumulativeDensity (Probability p, Size iFactor) const
	Inverse cumulative distribution of the systemic factor iFactor.
Real	inverseCumulativeY (Probability p, Size iVariable) const
Real	inverseCumulativeZ (Probability p) const
std::vector< Real >	allFactorCumulInverter (const std::vector< Real > &probs) const
Real	latentVarValue (const std::vector< Real > &allFactors, Size iVar) const
const copulaType &	copula () const
Real	integratedExpectedValue (const std::function< Real(const std::vector< Real > &v1)> &f) const
std::vector< Real >	integratedExpectedValueV (const std::function< std::vector< Real >(const std::vector< Real > &v1)> &f) const
Public Member Functions inherited from Observer
	Observer (const Observer &)
Observer &	operator= (const 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	deepUpdate ()
Public Member Functions inherited from Observable
	Observable (const Observable &)
Observable &	operator= (const Observable &)
	Observable (Observable &&)=delete
Observable &	operator= (Observable &&)=delete
void	notifyObservers ()

Additional Inherited Members
typedef copulaPolicy	copulaType
Public Types inherited from Observer
typedef set_type::iterator	iterator
Protected Member Functions inherited from DefaultLatentModel< copulaPolicy >
void	update () override
Probability	conditionalDefaultProbability (const Date &date, Size iName, const std::vector< Real > &mktFactors) const
Probability	condProbProduct (Real invCumYProb1, Real invCumYProb2, Size iName1, Size iName2, const std::vector< Real > &mktFactors) const
Real	conditionalProbAtLeastNEvents (Size n, const Date &date, const std::vector< Real > &mktFactors) const
	Conditional probability of n default events or more.
const ext::shared_ptr< LMIntegration > &	integration () const override
	access to integration:
Protected Attributes inherited from DefaultLatentModel< copulaPolicy >
ext::shared_ptr< Basket >	basket_
ext::shared_ptr< LMIntegration >	integration_
std::vector< std::vector< Real > >	factorWeights_
Handle< Quote >	cachedMktFactor_
std::vector< Real >	idiosyncFctrs_
Size	nFactors_
	Number of systemic factors.
Size	nVariables_
	Number of latent model variables, idiosyncratic terms or model dim.
copulaType	copula_

Detailed Description

template<class copulaPolicy>
class QuantLib::ConstantLossLatentmodel< copulaPolicy >

Constant deterministic loss amount default latent model. Integrable implementation.