HomogeneousPoolLossModel< copulaPolicy > Class Template Reference
Default loss distribution convolution for finite homogeneous pool. More...
#include <ql/experimental/credit/homogeneouspooldef.hpp>
Inheritance diagram for HomogeneousPoolLossModel< copulaPolicy >:
Public Member Functions | |
| HomogeneousPoolLossModel (const ext::shared_ptr< ConstantLossLatentmodel< copulaPolicy > > &copula, Size nBuckets, Real max=5., Real min=-5., Size nSteps=50) | |
| Real | expectedTrancheLoss (const Date &d) const override |
| Real | percentile (const Date &d, Real percentile) const override |
| Value at Risk given a default loss percentile. | |
| Real | expectedShortfall (const Date &d, Probability percentile) const override |
| Expected shortfall given a default loss percentile. | |
| Public Member Functions inherited from Observable | |
| Observable (const Observable &) | |
| Observable & | operator= (const Observable &) |
| Observable (Observable &&)=delete | |
| Observable & | operator= (Observable &&)=delete |
| void | notifyObservers () |
Protected Member Functions | |
| Distribution | lossDistrib (const Date &d) const |
| virtual Probability | probOverLoss (const Date &d, Real lossFraction) const |
| 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 |
Protected Attributes | |
| const ext::shared_ptr< ConstantLossLatentmodel< copulaPolicy > > | copula_ |
| Size | nBuckets_ |
| Real | attach_ |
| Real | detach_ |
| Real | notional_ |
| Real | attachAmount_ |
| Real | detachAmount_ |
| std::vector< Real > | notionals_ |
| Protected Attributes inherited from DefaultLossModel | |
| RelinkableHandle< Basket > | basket_ |
Detailed Description
template<class copulaPolicy>
class QuantLib::HomogeneousPoolLossModel< copulaPolicy >
class QuantLib::HomogeneousPoolLossModel< copulaPolicy >
Default loss distribution convolution for finite homogeneous pool.
Member Function Documentation
◆ expectedTrancheLoss()
Reimplemented from DefaultLossModel.
◆ percentile()
template<class copulaPolicy>
|
overridevirtual |
Value at Risk given a default loss percentile.
Reimplemented from DefaultLossModel.
◆ expectedShortfall()
template<class copulaPolicy>
|
overridevirtual |
Expected shortfall given a default loss percentile.
Reimplemented from DefaultLossModel.
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