QuantLib: RandomLM< derivedRandomLM, copulaPolicy, USNG

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

Inheritance diagram for RandomLM< derivedRandomLM, copulaPolicy, USNG >:

Protected Member Functions
	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< derivedRandomLM< copulaPolicy, USNG > > > &	getSim (const Size iSim) const
Real	getEventRecovery (const simEvent< derivedRandomLM< copulaPolicy, USNG > > &evt) 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.
virtual Real	expectedRecovery (const Date &, Size iName, const DefaultProbKey &) const

Statistics, DefaultLossModel interface.
const Size	numFactors_
const Size	numLMVars_
const Size	nSims_
std::vector< std::vector< simEvent< derivedRandomLM< copulaPolicy, USNG > > > >	simsBuffer_
copulaPolicy	copula_
ext::shared_ptr< copulaRNG_type >	copulasRng_
static const Size	maxHorizon_ = 4050
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

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator
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 ()
bool	calculated_ = false
bool	frozen_ = false
bool	alwaysForward_
Protected Attributes inherited from DefaultLossModel
RelinkableHandle< Basket >	basket_

Detailed Description

template<template< class, class > class derivedRandomLM, class copulaPolicy, class USNG = SobolRsg>
class QuantLib::RandomLM< derivedRandomLM, copulaPolicy, USNG >

Base class for latent model monte carlo simulation. Independent of the copula type and the generator. Generates the factors and variable samples and determines event threshold but it is not responsible for actual event specification; thats the derived classes responsibility according to what they model. Derived classes need mainly to implement nextSample (Worker::nextSample in the multithreaded version) to compute the simulation event generated, if any, from the latent variables sample. They also have the accompanying event trait to specify.

Member Function Documentation

◆ update()

template<template< class, class > class derivedRandomLM, class copulaPolicy, class USNG = SobolRsg>

void update ( )

overrideprotectedvirtual

This method must be implemented in derived classes. An instance of Observer does not call this method directly: instead, it will be called by the observables the instance registered with when they need to notify any changes.

Reimplemented from LazyObject.

◆ performCalculations()

template<template< class, class > class derivedRandomLM, class copulaPolicy, class USNG = SobolRsg>

void performCalculations ( ) const

overrideprotectedvirtual

This method must implement any calculations which must be (re)done in order to calculate the desired results.

Implements LazyObject.