#include <ql/experimental/credit/recursivelossmodel.hpp>
Public Member Functions | |
RecursiveLossModel (const boost::shared_ptr< ConstantLossLatentmodel< copulaPolicy > > &m, Size nbuckets=1) | |
Real | expectedTrancheLoss (const Date &date) const |
Disposable< std::vector< Real > > | lossProbability (const Date &date) const |
Disposable< std::map< Real, Probability > > | lossDistribution (const Date &d) const |
Full loss distribution. | |
Real | percentile (const Date &d, Real percentile) const |
Value at Risk given a default loss percentile. | |
Real | expectedShortfall (const Date &d, Real perctl) const |
Expected shortfall given a default loss percentile. | |
![]() | |
Observable (const Observable &) | |
Observable & | operator= (const Observable &) |
void | notifyObservers () |
Protected Member Functions | |
void | resetModel () |
Concrete models do now any updates/inits they need on basket reset. | |
![]() | |
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 < ConstantLossLatentmodel < copulaPolicy > > | copula_ |
![]() | |
RelinkableHandle< Basket > | basket_ |
Recursive STCDO default loss model for a heterogeneous pool of names. The pool names are heterogeneous in their default probabilities, notionals and recovery rates. Correlations are given by the latent model. The recursive pricing algorithm used here is described in Andersen, Sidenius and Basu; "All your hedges in one basket", Risk, November 2003, pages 67-72
Notice that using copulas other than Gaussian it is only an approximation (see remark on p.68).