QuantLib_ConstantLossModel man page

ConstantLossModel< copulaPolicy > —

Synopsis

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

Inherits ConstantLossLatentmodel< copulaPolicy >, and DefaultLossModel.

Public Member Functions

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

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

Protected Member Functions

Real defaultCorrelation (const Date &d, Size iName, Size jName) const
Pearsons' default probability correlation.
Probability probAtLeastNEvents (Size n, const Date &d) const

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

Additional Inherited Members

Detailed Description

template<class copulaPolicy>

class QuantLib::ConstantLossModel< copulaPolicy >" ConstantLossLatentModel interface for loss models. While it does not provide distribution type losses (e.g. expected tranche losses) because it lacks an integration algorithm it serves to allow pricing of digital type products like NTDs.

Alternatively fuse with the aboves class.

Member Function Documentation

Probability probAtLeastNEvents (Size n, const Date & d) const [protected], [virtual]

Returns the probaility of having a given or larger number of defaults in the basket portfolio at a given time.

Reimplemented from DefaultLossModel.

Real expectedRecovery (const Date &, Size iName, const DefaultProbKey &) const [protected], [virtual]

Expected RR for name conditinal to default by that date.

Reimplemented from DefaultLossModel.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

ConstantLossModel(3) is an alias of QuantLib_ConstantLossModel(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib