DefaultLossModel Class Reference

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

Inheritance diagram for DefaultLossModel:

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.
virtual Real	expectedShortfall (const Date &d, Real percentile) const
	Expected shortfall given a default loss percentile.
virtual std::vector< Real >	splitVaRLevel (const Date &d, Real loss) const
	Associated VaR fraction to each counterparty.
virtual std::vector< Real >	splitESFLevel (const Date &d, Real loss) const
	Associated ESF fraction to each counterparty.
virtual std::map< Real, Probability >	lossDistribution (const Date &) const
	Full loss distribution.
virtual Real	densityTrancheLoss (const Date &d, Real lossFraction) const
	Probability density of a given loss fraction of the basket notional.
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.
virtual Probability	probAtLeastNEvents (Size n, const Date &d) const
virtual Real	expectedRecovery (const Date &, Size iName, const DefaultProbKey &) const

Additional Inherited Members
Public Member Functions inherited from Observable
	Observable (const Observable &)
Observable &	operator= (const Observable &)
	Observable (Observable &&)=delete
Observable &	operator= (Observable &&)=delete
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.

Member Function Documentation

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 >.

percentile()

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

protectedvirtual

Value at Risk given a default loss percentile.

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

expectedShortfall()

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

protectedvirtual

Expected shortfall given a default loss percentile.

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

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 >.

lossDistribution()

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

protectedvirtual

Full loss distribution.

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

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 >.

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 >.

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 >.

expectedRecovery()

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

protectedvirtual

Expected RR for name conditinal to default by that date.

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