#include <ql/experimental/credit/randomdefaultlatentmodel.hpp>
Protected Member Functions | |
RandomLM (Size numFactors, Size numLMVars, const copulaPolicy &copula, Size nSims, BigNatural seed) | |
void | update () |
void | performCalculations () const |
void | performSimulations () const |
const std::vector< simEvent < derivedRandomLM < copulaPolicy, USNG > > > & | getSim (const Size iSim) const |
Real | getEventRecovery (const simEvent< derivedRandomLM< copulaPolicy, USNG > > &evt) const |
Statistics, DefaultLossModel interface. | |
virtual Probability | probAtLeastNEvents (Size n, const Date &d) const |
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 Real | expectedTrancheLoss (const Date &d) const |
virtual std::pair< Real, Real > | expectedTrancheLossInterval (const Date &d, Probability confidencePerc) const |
virtual Disposable< std::map < Real, Probability > > | lossDistribution (const Date &d) const |
Full loss distribution. | |
virtual Histogram | computeHistogram (const Date &d) const |
virtual Real | expectedShortfall (const Date &d, Real percent) const |
Expected shortfall given a default loss percentile. | |
virtual Real | percentile (const Date &d, Real percentile) const |
Value at Risk given a default loss percentile. | |
virtual boost::tuples::tuple < Real, Real, Real > | percentileAndInterval (const Date &d, Real percentile) const |
virtual Disposable < std::vector< Real > > | splitVaRLevel (const Date &date, Real loss) const |
virtual Disposable < std::vector< std::vector < Real > > > | splitVaRAndError (const Date &date, Real loss, Probability confInterval) const |
![]() | |
virtual void | calculate () const |
![]() | |
virtual Probability | probOverLoss (const Date &d, Real lossFraction) const |
virtual Disposable < std::vector< Real > > | splitESFLevel (const Date &d, Real loss) const |
Associated ESF fraction to each counterparty. | |
virtual Real | densityTrancheLoss (const Date &d, Real lossFraction) const |
Probability density of a given loss fraction of the basket notional. | |
virtual Real | expectedRecovery (const Date &, Size iName, const DefaultProbKey &) const |
Protected Attributes | |
const Size | numFactors_ |
const Size | numLMVars_ |
const Size | nSims_ |
std::vector< std::vector < simEvent< derivedRandomLM < copulaPolicy, USNG > > > > | simsBuffer_ |
copulaPolicy | copula_ |
boost::shared_ptr< copulaRNG_type > | copulasRng_ |
![]() | |
bool | calculated_ |
bool | frozen_ |
![]() | |
RelinkableHandle< Basket > | basket_ |
Static Protected Attributes | |
static const Size | maxHorizon_ = 4050 |
Additional Inherited Members | |
![]() | |
void | update () |
void | recalculate () |
void | freeze () |
void | unfreeze () |
![]() | |
Observable (const Observable &) | |
Observable & | operator= (const Observable &) |
void | notifyObservers () |
![]() | |
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 () |
Base class for latent model monte carlo simulation. Independent of the copula type and the generator. Generates the factors and variable samples and determines event threshold but it is not responsible for actual event specification; thats the derived classes responsibility according to what they model. Derived classes need mainly to implement nextSample (Worker::nextSample in the multithreaded version) to compute the simulation event generated, if any, from the latent variables sample. They also have the accompanying event trait to specify.
|
protectedvirtual |
This method must be implemented in derived classes. An instance of Observer does not call this method directly: instead, it will be called by the observables the instance registered with when they need to notify any changes.
Implements Observer.
|
protectedvirtual |
This method must implement any calculations which must be (re)done in order to calculate the desired results.
Implements LazyObject.
|
protectedvirtual |
Returns the probaility of having a given or larger number of defaults in the basket portfolio at a given time.
Reimplemented from DefaultLossModel.
|
protectedvirtual |
Order of results refers to the simulated (super)pool not the basket's pool. Notice that this statistic suffers from heavy dispersion. To see techniques to improve it (not implemented here) see: Joshi, M., D. Kainth. 2004. Rapid and accurate development of prices and Greeks for nth to default credit swaps in the Li model. Quantitative Finance, Vol. 4. Institute of Physics Publishing, London, UK, 266–275 and: Chen, Z., Glasserman, P. 'Fast pricing of basket default swaps' in Operations Research Vol. 56, No. 2, March–April 2008, pp. 286–303
Reimplemented from DefaultLossModel.
|
protectedvirtual |
Returns the VaR value for a given percentile and the 95 confidence interval of that value.
|
protectedvirtual |
Distributes the total VaR amount along the portfolio counterparties.
loss | Loss amount (in loss units). |
Reimplemented from DefaultLossModel.
|
protectedvirtual |
Distributes the total VaR amount along the portfolio counterparties. Provides confidence interval for split so that portfolio optimization can be performed outside those limits.
loss | Loss amount (in loss units). |