RecursiveLossModel< copulaPolicy > Class Template Reference

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

Inheritance diagram for RecursiveLossModel< copulaPolicy >:

Public Member Functions
	RecursiveLossModel (const ext::shared_ptr< ConstantLossLatentmodel< copulaPolicy > > &m, Size nbuckets=1)
Real	expectedTrancheLoss (const Date &date) const override
std::vector< Real >	lossProbability (const Date &date) const
std::map< Real, Probability >	lossDistribution (const Date &d) const override
	Full loss distribution.
Real	percentile (const Date &d, Real percentile) const override
	Value at Risk given a default loss percentile.
Real	expectedShortfall (const Date &d, Real perctl) 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
void	resetModel () override
	Concrete models do now any updates/inits they need on basket reset.
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 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_
Protected Attributes inherited from DefaultLossModel
RelinkableHandle< Basket >	basket_

Detailed Description

template<class copulaPolicy>
class QuantLib::RecursiveLossModel< copulaPolicy >

Recursive STCDO default loss model for a heterogeneous pool of names. The pool names are heterogeneous in their default probabilities, notionals and recovery rates. Correlations are given by the latent model. The recursive pricing algorithm used here is described in Andersen, Sidenius and Basu; "All your hedges in one basket", Risk, November 2003, pages 67-72

Notice that using copulas other than Gaussian it is only an
approximation (see remark on p.68).

\todo Make the loss unit equal to some small fraction depending on the
portfolio loss weights (notionals and recoveries). As it is now this
is ok for pricing but not for risk metrics. See the discussion in O'Kane
18.3.2
\todo Intengrands should all use the inverted probabilities for 
performance instead of calling the copula inversion with the same vals.

Member Function Documentation

resetModel()

template<class CP>

void resetModel ( )

overrideprotectedvirtual

Concrete models do now any updates/inits they need on basket reset.

Implements DefaultLossModel.

expectedTrancheLoss()

template<class CP>

Real expectedTrancheLoss ( const Date & date ) const

overridevirtual

Reimplemented from DefaultLossModel.

lossDistribution()

template<class CP>

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

overridevirtual

Full loss distribution.

Reimplemented from DefaultLossModel.

percentile()

template<class CP>

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

overridevirtual

Value at Risk given a default loss percentile.

Reimplemented from DefaultLossModel.

expectedShortfall()

template<class CP>

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

overridevirtual

Expected shortfall given a default loss percentile.

Reimplemented from DefaultLossModel.