stoplightbounds.hpp File Reference

compute stop light bounds for overlapping and correlated PL More...

#include <ql/math/matrix.hpp>
#include <ql/math/matrixutilities/pseudosqrt.hpp>
#include <ql/types.hpp>
#include <vector>

Functions
std::vector< Size >	stopLightBounds (const std::vector< Real > &stopLightP, const Size observations, const Size numberOfDays=10, const Real p=0.99, const Size numberOfPortfolios=1, const Matrix &correlation=Matrix(1, 1, 1.0), const Size samples=1500000, const Size seed=42, const SalvagingAlgorithm::Type salvaging=SalvagingAlgorithm::Spectral, const Size exceptions=Null< Size >(), Real *cumProb=nullptr)
std::vector< Size >	stopLightBoundsTabulated (const std::vector< Real > &stopLightP, const Size observations, const Size numberOfDays=10, const Real p=0.99)
std::vector< Size >	stopLightBounds (const std::vector< Real > &stopLightP, const Size observations, const Real p, const Size exceptions=Null< Size >(), Real *cumProb=nullptr)
std::vector< std::pair< Size, std::vector< Size > > >	generateStopLightBoundTable (const std::vector< Size > &observations, const std::vector< Real > &stopLightP, const Size samples, const Size seed, const Size numberOfDays=10, const Real p=0.99)

Detailed Description

compute stop light bounds for overlapping and correlated PL

Function Documentation

stopLightBounds()

std::vector<Size> QuantExt::stopLightBounds	(	const std::vector< Real > &	stopLightP,
		const Size	observations,
		const Size	numberOfDays = 10,
		const Real	p = 0.99,
		const Size	numberOfPortfolios = 1,
		const Matrix &	correlation = Matrix(1, 1, 1.0),
		const Size	samples = 1500000,
		const Size	seed = 42,
		const SalvagingAlgorithm::Type	salvaging = SalvagingAlgorithm::Spectral,
		const Size	exceptions = Null< Size >(),
		Real *	cumProb = nullptr
	)

Computes the maximum number of exceptions n such that the probability of having less or equal to n exceptions is less than p for a given vector of stop light levels (0.95 = green, 0.9999 = red in the Basel approach). An overlapping PL over a given period is considered, possibly also several portfolios with correlated PL. If the parameter exceptions m is not null, cumProb is set to the probability of having less of equal to m exceptions (this is not affecting the return value).