#include <ql/experimental/credit/basecorrelationlossmodel.hpp>
Public Member Functions | |
BaseCorrelationLossModel (const Handle< BaseCorrelationTermStructure< Corr2DInt_T > > &correlTS, const std::vector< Real > &recoveries, const typename BaseModel_T::copulaType::initTraits &traits=BaseModel_T::copulaType::initTraits()) | |
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Observable (const Observable &) | |
Observable & | operator= (const Observable &) |
void | notifyObservers () |
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Observer (const Observer &) | |
Observer & | operator= (const Observer &) |
std::pair< std::set < boost::shared_ptr < Observable > >::iterator, bool > | registerWith (const boost::shared_ptr< Observable > &) |
Size | unregisterWith (const boost::shared_ptr< Observable > &) |
void | unregisterWithAll () |
Protected Member Functions | |
void | setupModels () const |
template<> | |
void | setupModels () const |
template<> | |
void | setupModels () const |
template<> | |
void | setupModels () const |
template<> | |
void | setupModels () const |
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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 Disposable < std::vector< Real > > | splitVaRLevel (const Date &d, Real loss) const |
Associated VaR fraction to each counterparty. | |
virtual Disposable < std::vector< Real > > | splitESFLevel (const Date &d, Real loss) const |
Associated ESF fraction to each counterparty. | |
virtual Disposable< 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 Disposable < 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 |
Additional Inherited Members | |
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RelinkableHandle< Basket > | basket_ |
Base Correlation loss model; interpolation is performed by portfolio (live) amount percentage.
BaseModel_T must have a constructor with a single quote value
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protected |
Sets up attach/detach models. Gets called on basket update. To be specialized on the spacific model type.