Reference manual - version qle_version
#include <qle/models/poollossmodel.hpp>
Inheritance diagram for PoolLossModel< CopulaPolicy >:Public Member Functions | |
| PoolLossModel (bool homogeneous, const boost::shared_ptr< ExtendedConstantLossLatentModel< CopulaPolicy >> &copula, QuantLib::Size nBuckets, QuantLib::Real max=5.0, QuantLib::Real min=-5.0, QuantLib::Size nSteps=50, bool useQuadrature=false, bool useStochasticRecovery=false) | |
| QuantLib::Real | expectedTrancheLoss (const QuantLib::Date &d, Real recoveryRate=Null< Real >()) const override |
| QuantLib::Real | percentile (const QuantLib::Date &d, QuantLib::Real percentile) const override |
| QuantLib::Real | expectedShortfall (const QuantLib::Date &d, QuantLib::Probability percentile) const override |
| QuantLib::Real | correlation () const override |
| std::vector< std::vector< Real > > | marginalProbabilitiesVV (Date d, Real recoveryRate=Null< Real >()) const |
Additional Inherited Members | |
| 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 | percentile (const Date &d, Real percentile) const |
| Value at Risk given a default loss percentile. | |
| 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 |
| Protected Attributes inherited from DefaultLossModel | |
| RelinkableHandle< QuantExt::Basket > | basket_ |
Default loss distribution convolution for finite homogeneous or non-homogeneous pool
|
overridevirtual |
Return single correlation number for one factor models. If not implemented or not applicable, returns a Null<Real>().
Reimplemented from DefaultLossModel.
