QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.5
Public Types | Public Member Functions | Protected Member Functions | Protected Attributes | List of all members
InhomogeneousPoolLossModel< copulaPolicy > Class Template Reference

Default loss distribution convolution for finite non homogeneous pool. More...

#include <ql/experimental/credit/inhomogeneouspooldef.hpp>

+ Inheritance diagram for InhomogeneousPoolLossModel< copulaPolicy >:

Public Types

typedef copulaPolicy copulaType
 

Public Member Functions

 InhomogeneousPoolLossModel (const boost::shared_ptr< ConstantLossLatentmodel< copulaPolicy > > &copula, Size nBuckets, Real max=5., Real min=-5., Real nSteps=50)
 
Real expectedTrancheLoss (const Date &d) 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
 Expected shortfall given a default loss percentile.
 
- Public Member Functions inherited from Observable
 Observable (const Observable &)
 
Observableoperator= (const Observable &)
 
void notifyObservers ()
 

Protected Member Functions

Distribution lossDistrib (const Date &d) const
 
- Protected Member Functions inherited from DefaultLossModel
virtual Probability probOverLoss (const Date &d, Real lossFraction) const
 
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
 

Protected Attributes

const boost::shared_ptr
< ConstantLossLatentmodel
< copulaPolicy > > 
copula_
 
Size nBuckets_
 
Real attach_
 
Real detach_
 
Real notional_
 
Real attachAmount_
 
Real detachAmount_
 
std::vector< Realnotionals_
 
- Protected Attributes inherited from DefaultLossModel
RelinkableHandle< Basketbasket_
 

Detailed Description

template<class copulaPolicy>
class QuantLib::InhomogeneousPoolLossModel< copulaPolicy >

Default loss distribution convolution for finite non homogeneous pool.