Default loss distribution convolution for finite homogeneous pool. More...
#include <qle/models/homogeneouspooldef.hpp>
Public Member Functions | |
HomogeneousPoolLossModel (const boost::shared_ptr< ConstantLossLatentmodel< copulaPolicy >> &copula, Size nBuckets, Real max=5., Real min=-5., Real nSteps=50) | |
Real | expectedTrancheLoss (const Date &d, bool zeroRecovery=false) const |
Real | percentile (const Date &d, Real percentile) const |
Value at Risk given a default loss percentile. | |
Real | expectedShortfall (const Date &d, Probability percentile) const |
Protected Member Functions | |
Distribution | lossDistrib (const Date &d, bool zeroRecovery=false) const |
Protected Member Functions inherited from DefaultLossModel | |
virtual Real | expectedTrancheLoss (const Date &d, Real recoveryRate=Null< Real >()) const |
virtual Probability | probOverLoss (const Date &d, Real lossFraction) const |
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 Real | expectedRecovery (const Date &, Size iName, const DefaultProbKey &) const |
virtual QuantLib::Real | correlation () const |
Protected Attributes | |
const boost::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< QuantExt::Basket > | basket_ |
Default loss distribution convolution for finite homogeneous pool.