CreditRiskPlus Class Reference

#include <ql/experimental/risk/creditriskplus.hpp>

Public Member Functions
	CreditRiskPlus (std::vector< Real > exposure, std::vector< Real > defaultProbability, std::vector< Size > sector, std::vector< Real > relativeDefaultVariance, Matrix correlation, Real unit)
const std::vector< Real > &	loss ()
const std::vector< Real > &	marginalLoss ()
Real	exposure () const
Real	expectedLoss () const
Real	unexpectedLoss () const
Real	relativeDefaultVariance () const
const std::vector< Real > &	sectorExposures () const
const std::vector< Real > &	sectorExpectedLoss () const
const std::vector< Real > &	sectorUnexpectedLoss () const
Real	lossQuantile (Real p)

Detailed Description

Extended CreditRisk+ model as described in [1] Integrating Correlations, Risk, July 1999 and the references therein.

Warning

the input correlation matrix is not checked for positive definiteness

Deprecated

Out of scope; copy this class in your codebase if needed. Deprecated in version 1.36.