Reference manual - version qle_version
Default loss distribution convolution for finite non homogeneous pool. More...
#include <qle/models/inhomogeneouspooldef.hpp>
Inheritance diagram for InhomogeneousPoolLossModel< copulaPolicy >:Public Types | |
| typedef copulaPolicy | copulaType |
Public Member Functions | |
| InhomogeneousPoolLossModel (const QuantLib::ext::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 QuantLib::ext::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 non homogeneous pool.
