QuantLib: ConstantLossLatentmodel< copulaPolicy

#include <constantlosslatentmodel.hpp>

Inheritance diagram for ConstantLossLatentmodel< copulaPolicy >:

Collaboration diagram for ConstantLossLatentmodel< copulaPolicy >:

Public Member Functions
	ConstantLossLatentmodel (const std::vector< std::vector< Real > > &factorWeights, const std::vector< Real > &recoveries, LatentModelIntegrationType::LatentModelIntegrationType integralType, const initTraits &ini=initTraits())

	ConstantLossLatentmodel (const Handle< Quote > &mktCorrel, const std::vector< Real > &recoveries, LatentModelIntegrationType::LatentModelIntegrationType integralType, Size nVariables, const initTraits &ini=initTraits())

Real	conditionalRecovery (const Date &d, Size iName, const std::vector< Real > &mktFactors) const

Real	conditionalRecovery (Probability uncondDefP, Size iName, const std::vector< Real > &mktFactors) const

Real	conditionalRecoveryInvP (Real invUncondDefP, Size iName, const std::vector< Real > &mktFactors) const

Real	conditionalRecovery (Real latentVarSample, Size iName, const Date &d) const

const std::vector< Real > &	recoveries () const

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

Public Member Functions inherited from DefaultLatentModel< copulaPolicy >
	DefaultLatentModel (const std::vector< std::vector< Real > > &factorWeights, LatentModelIntegrationType::LatentModelIntegrationType integralType, const initTraits &ini=initTraits())

	DefaultLatentModel (const Handle< Quote > &mktCorrel, Size nVariables, LatentModelIntegrationType::LatentModelIntegrationType integralType, const initTraits &ini=initTraits())

void	resetBasket (const ext::shared_ptr< Basket > &basket) const

Probability	conditionalDefaultProbability (Probability prob, Size iName, const std::vector< Real > &mktFactors) const

Probability	conditionalDefaultProbabilityInvP (Real invCumYProb, Size iName, const std::vector< Real > &m) const

Probability	probOfDefault (Size iName, const Date &d) const

Real	defaultCorrelation (const Date &d, Size iNamei, Size iNamej) const

Probability	probAtLeastNEvents (Size n, const Date &date) const

Public Member Functions inherited from LatentModel< copulaPolicy >
void	update () override

Size	size () const

Size	numFactors () const
	Number of systemic factors. More...

Size	numTotalFactors () const
	Number of total free random factors; systemic and idiosyncratic. More...

	LatentModel (const std::vector< std::vector< Real > > &factorsWeights, const typename copulaType::initTraits &ini=typename copulaType::initTraits())

	LatentModel (const std::vector< Real > &factorsWeight, const typename copulaType::initTraits &ini=typename copulaType::initTraits())

	LatentModel (Real correlSqr, Size nVariables, const typename copulaType::initTraits &ini=typename copulaType::initTraits())

	LatentModel (const Handle< Quote > &singleFactorCorrel, Size nVariables, const typename copulaType::initTraits &ini=typename copulaType::initTraits())

const std::vector< std::vector< Real > > &	factorWeights () const
	Provides values of the factors \( a_{i,k} \). More...

const std::vector< Real > &	idiosyncFctrs () const
	Provides values of the normalized idiosyncratic factors \( Z_i \). More...

Real	latentVariableCorrel (Size iVar1, Size iVar2) const
	Latent variable correlations: More...

Probability	cumulativeY (Real val, Size iVariable) const

Probability	cumulativeZ (Real z) const
	Cumulative distribution of Z, the idiosyncratic/error factors. More...

Probability	density (const std::vector< Real > &m) const
	Density function of M, the market/systemic factors. More...

Real	inverseCumulativeDensity (Probability p, Size iFactor) const
	Inverse cumulative distribution of the systemic factor iFactor. More...

Real	inverseCumulativeY (Probability p, Size iVariable) const

Real	inverseCumulativeZ (Probability p) const

std::vector< Real >	allFactorCumulInverter (const std::vector< Real > &probs) const

Real	latentVarValue (const std::vector< Real > &allFactors, Size iVar) const

const copulaType &	copula () const

Real	integratedExpectedValue (const std::function< Real(const std::vector< Real > &v1)> &f) const

std::vector< Real >	integratedExpectedValueV (const std::function< std::vector< Real >(const std::vector< Real > &v1)> &f) const

Public Member Functions inherited from Observer
	Observer ()=default

	Observer (const Observer &)

Observer &	operator= (const Observer &)

virtual	~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	update ()=0

virtual void	deepUpdate ()

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 ()

Private Types
typedef copulaPolicy::initTraits	initTraits

Private Attributes
const std::vector< Real >	recoveries_

Additional Inherited Members
Public Types inherited from LatentModel< copulaPolicy >
typedef copulaPolicy	copulaType

Public Types inherited from Observer
typedef set_type::iterator	iterator

Protected Member Functions inherited from DefaultLatentModel< copulaPolicy >
void	update () override

Probability	conditionalDefaultProbability (const Date &date, Size iName, const std::vector< Real > &mktFactors) const

Probability	condProbProduct (Real invCumYProb1, Real invCumYProb2, Size iName1, Size iName2, const std::vector< Real > &mktFactors) const

Real	conditionalProbAtLeastNEvents (Size n, const Date &date, const std::vector< Real > &mktFactors) const
	Conditional probability of n default events or more. More...

const ext::shared_ptr< LMIntegration > &	integration () const override
	access to integration: More...

Protected Member Functions inherited from LatentModel< copulaPolicy >
Protected Attributes inherited from DefaultLatentModel< copulaPolicy >
ext::shared_ptr< Basket >	basket_

ext::shared_ptr< LMIntegration >	integration_

Protected Attributes inherited from LatentModel< copulaPolicy >
std::vector< std::vector< Real > >	factorWeights_

Handle< Quote >	cachedMktFactor_

std::vector< Real >	idiosyncFctrs_

Size	nFactors_
	Number of systemic factors. More...

Size	nVariables_
	Number of latent model variables, idiosyncratic terms or model dim. More...

copulaType	copula_

Detailed Description

template<class copulaPolicy>
class QuantLib::ConstantLossLatentmodel< copulaPolicy >

Constant deterministic loss amount default latent model. Integrable implementation.

Definition at line 38 of file constantlosslatentmodel.hpp.

Member Typedef Documentation

◆ initTraits

typedef copulaPolicy::initTraits initTraits

private

Definition at line 41 of file constantlosslatentmodel.hpp.

Constructor & Destructor Documentation

◆ ConstantLossLatentmodel() [1/2]

ConstantLossLatentmodel	(	const std::vector< std::vector< Real > > &	factorWeights,
		const std::vector< Real > &	recoveries,
		LatentModelIntegrationType::LatentModelIntegrationType	integralType,
		const initTraits &	ini = `initTraits()`
	)

Definition at line 43 of file constantlosslatentmodel.hpp.

Here is the call graph for this function:

◆ ConstantLossLatentmodel() [2/2]

ConstantLossLatentmodel	(	const Handle< Quote > &	mktCorrel,
		const std::vector< Real > &	recoveries,
		LatentModelIntegrationType::LatentModelIntegrationType	integralType,
		Size	nVariables,
		const initTraits &	ini = `initTraits()`
	)