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Distribution | lossDistrib (const Date &d, bool zeroRecovery=false) const |
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virtual Real | expectedTrancheLoss (const Date &d, Real recoveryRate=Null< Real >()) const |
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virtual Probability | probOverLoss (const Date &d, Real lossFraction) const |
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virtual Real | expectedShortfall (const Date &d, Real percentile) const |
| Expected shortfall given a default loss percentile.
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virtual std::vector< Real > | splitVaRLevel (const Date &d, Real loss) const |
| Associated VaR fraction to each counterparty.
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virtual std::vector< Real > | splitESFLevel (const Date &d, Real loss) const |
| Associated ESF fraction to each counterparty.
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virtual std::map< Real, Probability > | lossDistribution (const Date &) const |
| Full loss distribution.
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virtual Real | densityTrancheLoss (const Date &d, Real lossFraction) const |
| Probability density of a given loss fraction of the basket notional.
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virtual std::vector< Probability > | probsBeingNthEvent (Size n, const Date &d) const |
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virtual Real | defaultCorrelation (const Date &d, Size iName, Size jName) const |
| Pearsons' default probability correlation.
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virtual Probability | probAtLeastNEvents (Size n, const Date &d) const |
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virtual Real | expectedRecovery (const Date &, Size iName, const DefaultProbKey &) const |
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virtual QuantLib::Real | correlation () const |
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template<class copulaPolicy>
class QuantExt::InhomogeneousPoolLossModel< copulaPolicy >
Default loss distribution convolution for finite non homogeneous pool.