ConstantLossLatentmodel< copulaPolicy > Class Template Reference

#include <qle/models/constantlosslatentmodel.hpp>

Inheritance 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 QuantLib::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

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 QuantLib::ext::shared_ptr< LMIntegration > &	integration () const override
	access to integration:
Protected Attributes inherited from DefaultLatentModel< copulaPolicy >
QuantLib::ext::shared_ptr< Basket >	basket_
QuantLib::ext::shared_ptr< LMIntegration >	integration_

Detailed Description

template<class copulaPolicy>
class QuantExt::ConstantLossLatentmodel< copulaPolicy >

Constant deterministic loss amount default latent model. Integrable implementation.