Reference manual - version qle_version
#include <qle/models/gaussianlhplossmodel.hpp>
Inheritance diagram for GaussianLHPLossModel:Public Types | |
| typedef GaussianCopulaPolicy | copulaType |
Public Member Functions | |
| GaussianLHPLossModel (const Handle< Quote > &correlQuote, const std::vector< Handle< QuantLib::RecoveryRateQuote >> "es) | |
| GaussianLHPLossModel (Real correlation, const std::vector< Real > &recoveries) | |
| GaussianLHPLossModel (const Handle< Quote > &correlQuote, const std::vector< Real > &recoveries) | |
| void | update () override |
| Real | expectedTrancheLoss (const Date &d, Real recoveryRate=Null< Real >()) const override |
| Real | probOverLoss (const Date &d, Real remainingLossFraction) const override |
| Real | expectedShortfall (const Date &d, Probability perctl) const override |
| Returns the ESF as an absolute amount (rather than a fraction) | |
| Real | percentile (const Date &d, Real perctl) const override |
| Value at Risk given a default loss percentile. | |
| Probability | averageProb (const Date &d) const |
| Real | averageRecovery (const Date &d) const |
Protected Member Functions | |
| Real | percentilePortfolioLossFraction (const Date &d, Real perctl) const |
| Real | expectedRecovery (const Date &d, Size iName, const DefaultProbKey &ik) const override |
| Protected Member Functions inherited from DefaultLossModel | |
| virtual Real | expectedShortfall (const Date &d, Real percentile) const |
| Expected shortfall given a default loss percentile. | |
| virtual std::vector< Real > | splitVaRLevel (const Date &d, Real loss) const |
| Associated VaR fraction to each counterparty. | |
| virtual std::vector< Real > | splitESFLevel (const Date &d, Real loss) const |
| Associated ESF fraction to each counterparty. | |
| virtual std::map< Real, Probability > | lossDistribution (const Date &) const |
| Full loss distribution. | |
| virtual Real | densityTrancheLoss (const Date &d, Real lossFraction) const |
| Probability density of a given loss fraction of the basket notional. | |
| 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. | |
| virtual Probability | probAtLeastNEvents (Size n, const Date &d) const |
| virtual QuantLib::Real | correlation () const |
Additional Inherited Members | |
| Protected Attributes inherited from DefaultLossModel | |
| RelinkableHandle< QuantExt::Basket > | basket_ |
Portfolio loss model with analytical expected tranche loss for a large homogeneous pool with Gaussian one-factor copula. See for example "The Normal Inverse Gaussian Distribution for Synthetic CDO pricing.", Anna Kalemanova, Bernd Schmid, Ralf Werner, Journal of Derivatives, Vol. 14, No. 3, (Spring 2007), pp. 80-93. http://www.defaultrisk.com/pp_crdrv_91.htm
It can be used to price a credit derivative or to provide risk metrics of a portfolio.
|
overridevirtual |
The passed remainingLossFraction is in live tranche units, not portfolio as a fraction of the remaining(live) tranche (i.e. a_remaining=0% and det_remaining=100%)
Reimplemented from DefaultLossModel.
|
overrideprotectedvirtual |
Expected RR for name conditinal to default by that date.
Reimplemented from DefaultLossModel.
