#include <ql/experimental/credit/binomiallossmodel.hpp>
Public Types | |
typedef LLM::copulaType | copulaType |
Public Member Functions | |
BinomialLossModel (const boost::shared_ptr< LLM > &copula) | |
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Observable (const Observable &) | |
Observable & | operator= (const Observable &) |
void | notifyObservers () |
Protected Member Functions | |
Disposable< std::vector< Real > > | expectedDistribution (const Date &date) const |
Disposable< std::vector< Real > > | lossPoints (const Date &) const |
attainable loss points this model provides | |
Disposable< std::map< Real, Probability > > | lossDistribution (const Date &d) const |
Returns the cumulative full loss distribution. | |
Real | percentile (const Date &d, Real percentile) const |
Loss level for this percentile. | |
Real | expectedShortfall (const Date &d, Real percentile) const |
Expected shortfall given a default loss percentile. | |
Real | expectedTrancheLoss (const Date &d) const |
Real | averageLoss (const Date &, const std::vector< Real > &reminingNots, const std::vector< Real > &) const |
Average loss per credit. | |
Real | condTrancheLoss (const Date &, const std::vector< Real > &lossVals, const std::vector< Real > &bsktNots, const std::vector< Probability > &uncondDefProbs, const std::vector< Real > &) const |
Disposable< std::vector< Real > > | expConditionalLgd (const Date &d, const std::vector< Real > &mktFactors) const |
Disposable< std::vector< Real > > | lossProbability (const Date &date, const std::vector< Real > &bsktNots, const std::vector< Real > &uncondDefProbInv, const std::vector< Real > &mktFactor) const |
Loss probability density conditional on the market factor value. | |
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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 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< LLM > | copula_ |
Real | attachAmount_ |
Real | detachAmount_ |
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RelinkableHandle< Basket > | basket_ |
Binomial Defaultable Basket Loss Model
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protected |
Returns the probability of the default loss values given by the method lossPoints.