HomogeneousPoolLossModel< copulaPolicy > Class Template Reference

Default loss distribution convolution for finite homogeneous pool. More...

#include <homogeneouspooldef.hpp>

Inheritance diagram for HomogeneousPoolLossModel< copulaPolicy >:

Collaboration 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. More...
Real	expectedShortfall (const Date &d, Probability percentile) const override
	Expected shortfall given a default loss percentile. More...
Public Member Functions inherited from Observable
	Observable ()=default
	Observable (const Observable &)
Observable &	operator= (const Observable &)
	Observable (Observable &&)=delete
Observable &	operator= (Observable &&)=delete
virtual	~Observable ()=default
void	notifyObservers ()

Protected Member Functions
Distribution	lossDistrib (const Date &d) const
Protected Member Functions inherited from DefaultLossModel
	DefaultLossModel ()=default
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. More...
virtual std::vector< Real >	splitESFLevel (const Date &d, Real loss) const
	Associated ESF fraction to each counterparty. More...
virtual std::map< Real, Probability >	lossDistribution (const Date &) const
	Full loss distribution. More...
virtual Real	densityTrancheLoss (const Date &d, Real lossFraction) const
	Probability density of a given loss fraction of the basket notional. More...
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. More...
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_

Private Member Functions
void	resetModel () override
	Concrete models do now any updates/inits they need on basket reset. More...

Private Attributes
const Real	max_
const Real	min_
const Size	nSteps_
const Real	delta_

Detailed Description

template<class copulaPolicy>
class QuantLib::HomogeneousPoolLossModel< copulaPolicy >

Default loss distribution convolution for finite homogeneous pool.

Definition at line 43 of file homogeneouspooldef.hpp.

Constructor & Destructor Documentation

HomogeneousPoolLossModel()

HomogeneousPoolLossModel	(	const ext::shared_ptr< ConstantLossLatentmodel< copulaPolicy > > &	copula,
		Size	nBuckets,
		Real	max = 5.,
		Real	min = -5.,
		Size	nSteps = 50
	)

Definition at line 48 of file homogeneouspooldef.hpp.

Member Function Documentation

resetModel()

void resetModel ( )

overrideprivatevirtual

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

Implements DefaultLossModel.

Definition at line 106 of file homogeneouspooldef.hpp.

lossDistrib()

Distribution lossDistrib ( const Date &  d ) const

protected

Definition at line 123 of file homogeneouspooldef.hpp.

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expectedTrancheLoss()

Real expectedTrancheLoss ( const Date &  d ) const

overridevirtual

Reimplemented from DefaultLossModel.

Definition at line 65 of file homogeneouspooldef.hpp.

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percentile()

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

overridevirtual

Value at Risk given a default loss percentile.

Reimplemented from DefaultLossModel.

Definition at line 74 of file homogeneouspooldef.hpp.

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expectedShortfall()

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

overridevirtual

Expected shortfall given a default loss percentile.

Reimplemented from DefaultLossModel.

Definition at line 78 of file homogeneouspooldef.hpp.

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Member Data Documentation

copula_

const ext::shared_ptr<ConstantLossLatentmodel<copulaPolicy> > copula_

protected

Definition at line 85 of file homogeneouspooldef.hpp.

nBuckets_

Size nBuckets_

protected

Definition at line 86 of file homogeneouspooldef.hpp.

attach_

Real attach_

mutableprotected

Definition at line 87 of file homogeneouspooldef.hpp.

detach_

Real detach_

protected

Definition at line 87 of file homogeneouspooldef.hpp.

notional_

Real notional_

protected

Definition at line 87 of file homogeneouspooldef.hpp.

attachAmount_

Real attachAmount_

protected

Definition at line 87 of file homogeneouspooldef.hpp.

detachAmount_

Real detachAmount_

protected

Definition at line 87 of file homogeneouspooldef.hpp.

notionals_

std::vector<Real> notionals_

mutableprotected

Definition at line 88 of file homogeneouspooldef.hpp.

max_

const Real max_

private

Definition at line 93 of file homogeneouspooldef.hpp.

min_

const Real min_

private

Definition at line 94 of file homogeneouspooldef.hpp.

nSteps_

const Size nSteps_

private

Definition at line 95 of file homogeneouspooldef.hpp.

delta_

const Real delta_

private

Definition at line 96 of file homogeneouspooldef.hpp.