#include <qle/models/constantlosslatentmodel.hpp>
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 boost::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 |
Additional Inherited Members | |
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. | |
const boost::shared_ptr< LMIntegration > & | integration () const override |
access to integration: | |
Protected Attributes inherited from DefaultLatentModel< copulaPolicy > | |
boost::shared_ptr< Basket > | basket_ |
boost::shared_ptr< LMIntegration > | integration_ |
Constant deterministic loss amount default latent model. Integrable implementation.