QuantLib_ConstantLossLatentmodel man page

ConstantLossLatentmodel< copulaPolicy > —

Synopsis

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

Inherits DefaultLatentModel< copulaPolicy >.

Inherited by ConstantLossModel< copulaPolicy >[virtual].

Public Member Functions

ConstantLossLatentmodel (const std::vector< std::vector< Real > > &factorWeights, const std::vector< Real > &recoveries, LatentModelIntegrationType::LatentModelIntegrationType integralType, const initTraits &ini=initTraits())

ConstantLossLatentmodel (const Handle< Quote > &mktCorrel, const std::vector< Real > &recoveries, LatentModelIntegrationType::LatentModelIntegrationType integralType, Size nVariables, const initTraits &ini=initTraits())

Real conditionalRecovery (const Date &d, Size iName, const std::vector< Real > &mktFactors) const

Real conditionalRecovery (Probability uncondDefP, Size iName, const std::vector< Real > &mktFactors) const

Real conditionalRecoveryInvP (Real invUncondDefP, Size iName, const std::vector< Real > &mktFactors) const

Real conditionalRecovery (Real latentVarSample, Size iName, const Date &d) const

const std::vector< Real > & recoveries () const

Real expectedRecovery (const Date &d, Size iName, const DefaultProbKey &defKeys) const

Additional Inherited Members

Detailed Description

template<class copulaPolicy>

class QuantLib::ConstantLossLatentmodel< copulaPolicy >" Constant deterministic loss amount default latent model. Integrable implementation.

Author

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Referenced By

conditionalRecovery(3), conditionalRecoveryInvP(3), ConstantLossLatentmodel(3), expectedRecovery(3) and recoveries(3) are aliases of QuantLib_ConstantLossLatentmodel(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib