RandomDefaultLM< copulaPolicy, USNG > Class Template Reference

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

Inheritance diagram for RandomDefaultLM< copulaPolicy, USNG >:

Public Member Functions
	RandomDefaultLM (const ext::shared_ptr< DefaultLatentModel< copulaPolicy > > &model, const std::vector< Real > &recoveries=std::vector< Real >(), Size nSims=0, Real accuracy=1.e-6, BigNatural seed=2863311530UL)
	RandomDefaultLM (const ext::shared_ptr< ConstantLossLatentmodel< copulaPolicy > > &model, Size nSims=0, Real accuracy=1.e-6, BigNatural seed=2863311530UL)
Public Member Functions inherited from LazyObject
bool	isCalculated () const
void	forwardFirstNotificationOnly ()
void	alwaysForwardNotifications ()
void	recalculate ()
void	freeze ()
void	unfreeze ()
Public Member Functions inherited from Observable
	Observable (const Observable &)
Observable &	operator= (const Observable &)
	Observable (Observable &&)=delete
Observable &	operator= (Observable &&)=delete
void	notifyObservers ()
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 ()

Protected Member Functions
void	nextSample (const std::vector< Real > &values) const
void	initDates () const
Real	getEventRecovery (const defaultSimEvent &evt) const
Real	expectedRecovery (const Date &, Size iName, const DefaultProbKey &) const override
Real	latentVarValue (const std::vector< Real > &factorsSample, Size iVar) const
Size	basketSize () const
Protected Member Functions inherited from RandomLM< RandomDefaultLM, copulaPolicy, SobolRsg >
	RandomLM (Size numFactors, Size numLMVars, copulaPolicy copula, Size nSims, BigNatural seed)
void	update () override
void	performCalculations () const override
void	performSimulations () const
const std::vector< simEvent< RandomDefaultLM< copulaPolicy, SobolRsg > > > &	getSim (const Size iSim) const
Real	getEventRecovery (const simEvent< RandomDefaultLM< copulaPolicy, SobolRsg > > &evt) const
Probability	probAtLeastNEvents (Size n, const Date &d) const override
std::vector< Probability >	probsBeingNthEvent (Size n, const Date &d) const override
Real	defaultCorrelation (const Date &d, Size iName, Size jName) const override
	Pearsons' default probability correlation.
Real	expectedTrancheLoss (const Date &d) const override
virtual std::pair< Real, Real >	expectedTrancheLossInterval (const Date &d, Probability confidencePerc) const
std::map< Real, Probability >	lossDistribution (const Date &d) const override
	Full loss distribution.
virtual Histogram	computeHistogram (const Date &d) const
Real	expectedShortfall (const Date &d, Real percent) const override
	Expected shortfall given a default loss percentile.
Real	percentile (const Date &d, Real percentile) const override
	Value at Risk given a default loss percentile.
virtual std::tuple< Real, Real, Real >	percentileAndInterval (const Date &d, Real percentile) const
std::vector< Real >	splitVaRLevel (const Date &date, Real loss) const override
virtual std::vector< std::vector< Real > >	splitVaRAndError (const Date &date, Real loss, Probability confInterval) const
virtual void	calculate () const
virtual Probability	probOverLoss (const Date &d, Real lossFraction) const
virtual std::vector< Real >	splitESFLevel (const Date &d, Real loss) const
	Associated ESF fraction to each counterparty.
virtual Real	densityTrancheLoss (const Date &d, Real lossFraction) const
	Probability density of a given loss fraction of the basket notional.

Friends
class	RandomLM< ::QuantLib::RandomDefaultLM, copulaPolicy, USNG >

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator
const Size	numFactors_
const Size	numLMVars_
const Size	nSims_
std::vector< std::vector< simEvent< RandomDefaultLM< copulaPolicy, SobolRsg > > > >	simsBuffer_
copulaPolicy	copula_
ext::shared_ptr< copulaRNG_type >	copulasRng_
bool	calculated_ = false
bool	frozen_ = false
bool	alwaysForward_
Protected Attributes inherited from DefaultLossModel
RelinkableHandle< Basket >	basket_
static const Size	maxHorizon_

Detailed Description

template<class copulaPolicy, class USNG = SobolRsg>
class QuantLib::RandomDefaultLM< copulaPolicy, USNG >

Random default with deterministic recovery event type.

Stores sims results in a bitfield buffer for lean memory storage. Although strictly speaking this is not guaranteed by the compiler it amounts to reducing the memory storage by half. Some computations, like conditional statistics, precise that all sims results be available.

Default only latent model simulation with trivially fixed recovery amounts.

Examples

BasketLosses.cpp.

Member Function Documentation

expectedRecovery()

template<class copulaPolicy, class USNG = SobolRsg>

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

overrideprotectedvirtual

Expected RR for name conditinal to default by that date.

Reimplemented from DefaultLossModel.