InhomogeneousPoolLossModel< copulaPolicy > Class Template Reference

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

#include <inhomogeneouspooldef.hpp>

Inheritance diagram for InhomogeneousPoolLossModel< copulaPolicy >:

Collaboration diagram for InhomogeneousPoolLossModel< copulaPolicy >:

Public Types
typedef copulaPolicy	copulaType

Public Member Functions
	InhomogeneousPoolLossModel (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::InhomogeneousPoolLossModel< copulaPolicy >

Default loss distribution convolution for finite non homogeneous pool.

Definition at line 46 of file inhomogeneouspooldef.hpp.

Member Typedef Documentation

copulaType

typedef copulaPolicy copulaType

Definition at line 52 of file inhomogeneouspooldef.hpp.

Constructor & Destructor Documentation

InhomogeneousPoolLossModel()

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

Definition at line 54 of file inhomogeneouspooldef.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 114 of file inhomogeneouspooldef.hpp.

lossDistrib()

Distribution lossDistrib ( const Date &  d ) const

protected

Definition at line 131 of file inhomogeneouspooldef.hpp.

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expectedTrancheLoss()

Real expectedTrancheLoss ( const Date &  d ) const

overridevirtual

Reimplemented from DefaultLossModel.

Definition at line 73 of file inhomogeneouspooldef.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 82 of file inhomogeneouspooldef.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 86 of file inhomogeneouspooldef.hpp.

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Member Data Documentation

copula_

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

protected

Definition at line 93 of file inhomogeneouspooldef.hpp.

nBuckets_

Size nBuckets_

protected

Definition at line 94 of file inhomogeneouspooldef.hpp.

attach_

Real attach_

mutableprotected

Definition at line 95 of file inhomogeneouspooldef.hpp.

detach_

Real detach_

protected

Definition at line 95 of file inhomogeneouspooldef.hpp.

notional_

Real notional_

protected

Definition at line 95 of file inhomogeneouspooldef.hpp.

attachAmount_

Real attachAmount_

protected

Definition at line 95 of file inhomogeneouspooldef.hpp.

detachAmount_

Real detachAmount_

protected

Definition at line 95 of file inhomogeneouspooldef.hpp.

notionals_

std::vector<Real> notionals_

mutableprotected

Definition at line 96 of file inhomogeneouspooldef.hpp.

max_

const Real max_

private

Definition at line 101 of file inhomogeneouspooldef.hpp.

min_

const Real min_

private

Definition at line 102 of file inhomogeneouspooldef.hpp.

nSteps_

const Size nSteps_

private

Definition at line 103 of file inhomogeneouspooldef.hpp.

delta_

const Real delta_

private

Definition at line 104 of file inhomogeneouspooldef.hpp.