Default loss distribution convolution for finite homogeneous pool. More...
#include <ql/experimental/credit/homogeneouspooldef.hpp>
Public Member Functions | |
HomogeneousPoolLossModel (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. | |
![]() | |
Observable (const Observable &) | |
Observable & | operator= (const Observable &) |
void | notifyObservers () |
Protected Member Functions | |
Distribution | lossDistrib (const Date &d) const |
![]() | |
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< Real > | notionals_ |
![]() | |
RelinkableHandle< Basket > | basket_ |
Default loss distribution convolution for finite homogeneous pool.