QuantLib_DefaultLatentModel man page

DefaultLatentModel< copulaPolicy > — Default event Latent Model.

Synopsis

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

Inherits LatentModel< copulaPolicy >.

Inherited by ConstantLossLatentmodel< copulaPolicy >.

Public Member Functions

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

DefaultLatentModel (const Handle< Quote > &mktCorrel, Size nVariables, LatentModelIntegrationType::LatentModelIntegrationType integralType, const initTraits &ini=initTraits())

void resetBasket (const boost::shared_ptr< Basket > basket) const

Probability conditionalDefaultProbability (Probability prob, Size iName, const std::vector< Real > &mktFactors) const

Probability conditionalDefaultProbabilityInvP (Real invCumYProb, Size iName, const std::vector< Real > &m) const

Probability probOfDefault (Size iName, const Date &d) const

Real defaultCorrelation (const Date &d, Size iNamei, Size iNamej) const

Probability probAtLeastNEvents (Size n, const Date &date) const

Protected Member Functions

void update ()

Probability conditionalDefaultProbability (const Date &date, Size iName, const std::vector< Real > &mktFactors) const

Probability condProbProduct (Real invCumYProb1, Real invCumYProb2, Size iName1, Size iName2, const std::vector< Real > &mktFactors) const

Real conditionalProbAtLeastNEvents (Size n, const Date &date, const std::vector< Real > &mktFactors) const
Conditional probability of n default events or more.
const boost::shared_ptr< LMIntegration > & integration () const
access to integration:

Protected Attributes

boost::shared_ptr< Basket > basket_

boost::shared_ptr< LMIntegration > integration_

Additional Inherited Members

Detailed Description

template<class copulaPolicy>

class QuantLib::DefaultLatentModel< copulaPolicy >" Default event Latent Model.

This is a model for joint default events based on a generic Latent Model. It models solely the default events in a portfolio, not making any reference to severities, exposures, etc... An implicit correspondence is stablished between the variables modelled and the names in the basket given by the basket and model variable access indices. The class is parametric on the Latent Model copula.

Constructor & Destructor Documentation

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

Parameters:

factorWeights Latent model independent factors weights for each variable.
ini Copula initialization if any.

Warning

Baskets with realized defaults not tested/WIP.

Member Function Documentation

Probability conditionalDefaultProbability (Probability prob, Size iName, const std::vector< Real > & mktFactors) const

Returns the probability of default of a given name conditional on the realization of a given set of values of the model independent factors. The date at which the probability is given is implicit in the probability since theres not other time dependence in this model.

Parameters:

prob Unconditional probability of default.
iName desired name.
mktFactors Value of LM independent factors.

Warning

Most often it is preferred to use the method below avoiding the cumulative inversion.

void update () [protected], [virtual]

This method must be implemented in derived classes. An instance of Observer does not call this method directly: instead, it will be called by the observables the instance registered with when they need to notify any changes.

Implements Observer.

Probability conditionalDefaultProbabilityInvP (Real invCumYProb, Size iName, const std::vector< Real > & m) const

Returns the probability of default of a given name conditional on the realization of a given set of values of the model independent factors. The date at which the probability is given is implicit in the probability since theres not other time dependent in this model. Same intention as above but provides a performance opportunity, if the integration is along the market factors (as usually is) avoids computing the inverse of the probability on each call.

Parameters:

invCumYProb Inverse cumul of the unconditional probability of default, has to follow the same copula law for results to be coherent
iName desired name.
m Value of LM independent factors.

Probability conditionalDefaultProbability (const Date & date, Size iName, const std::vector< Real > & mktFactors) const [protected]

Returns the probability of default of a given name conditional on the realization of a given set of values of the model independent factors.

Parameters:

date The date for the probability of default.
iName desired name.
mktFactors Value of LM independent factors.

Same intention as the above methods. Usage of this one is typically more expensive because most often the date we call this method with repeats itself and with this one the probability can not be cached outside the call.

Probability condProbProduct (Real invCumYProb1, Real invCumYProb2, Size iName1, Size iName2, const std::vector< Real > & mktFactors) const [protected]

Conditional default probability product, intermediate step in the correlation calculation.

Probability probOfDefault (Size iName, const Date & d) const

Computes the unconditional probability of default of a given name. Trivial method for testing

Real defaultCorrelation (const Date & d, Size iNamei, Size iNamej) const

Pearsons' default probability correlation. Users should consider specialization on the copula type for specific distributions since that might simplify the integrations, most importantly if this is to be used in calibration of observations for factor coefficients as it is expensive to integrate directly.

Probability probAtLeastNEvents (Size n, const Date & date) const

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

Author

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Referenced By

basket_(3), conditionalDefaultProbability(3), conditionalDefaultProbabilityInvP(3), conditionalProbAtLeastNEvents(3), condProbProduct(3), DefaultLatentModel(3), integration(3), integration_(3), probOfDefault(3) and resetBasket(3) are aliases of QuantLib_DefaultLatentModel(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib