QuantLib_DefaultLossModel man page

DefaultLossModel —

Synopsis

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

Inherits Observable.

Inherited by BaseCorrelationLossModel< BaseModel_T, Corr2DInt_T >, BinomialLossModel< LLM >, ConstantLossModel< copulaPolicy >[virtual], GaussianLHPLossModel, HomogeneousPoolLossModel< copulaPolicy >, InhomogeneousPoolLossModel< copulaPolicy >, RandomLM< derivedRandomLM, copulaPolicy, USNG >[virtual], RecursiveLossModel< copulaPolicy >, SaddlePointLossModel< CP >, RandomLM< RandomDefaultLM, copulaPolicy, USNG >[virtual], and RandomLM< RandomLossLM, copulaPolicy, USNG >[virtual].

Protected Member Functions

Statistics

virtual Real expectedTrancheLoss (const Date &d) const

virtual Probability probOverLoss (const Date &d, Real lossFraction) const

virtual Real percentile (const Date &d, Real percentile) const
Value at Risk given a default loss percentile.
virtual Real expectedShortfall (const Date &d, Real percentile) const
Expected shortfall given a default loss percentile.
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

RelinkableHandle< Basket > basket_

Friends

class Basket

Additional Inherited Members

Detailed Description

Default loss model interface definition. Allows communication between the basket and specific algorithms. Intended to hold any kind of portfolio joint loss, latent models, top-down,....

An inconvenience of this design as opposed to the full arguments/results is that when pricing several derivatives instruments on the same basket not all the pricing engines would point to the same loss model; thus when pricing a set of such instruments there might be some switching on the basket loss models, which might require recalculations (of the basket) or not depending on the pricing order.

Member Function Documentation

virtual Probability probOverLoss (const Date & d, Real lossFraction) const [protected], [virtual]

Probability of the tranche losing the same or more than the fractional amount given.

Parameters:

lossFraction A fraction of losses over the tranche notional (not the portfolio)

Reimplemented in SaddlePointLossModel< CP >, and GaussianLHPLossModel.

virtual Disposable<std::vector<Probability> > probsBeingNthEvent (Size n, const Date & d) const [protected], [virtual]

Probabilities for each of the (remaining) basket elements in the pool to have defaulted by time d and at the same time be the Nth defaulting name to default in the basket. This method is oriented to default order dependent portfolio pricing (e.g. NTDs) The the probabilities ordering in the vector coincides with the pool order.

Reimplemented in RandomLM< derivedRandomLM, copulaPolicy, USNG >, RandomLM< RandomDefaultLM, copulaPolicy, USNG >, and RandomLM< RandomLossLM, copulaPolicy, USNG >.

virtual 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 in RandomLM< derivedRandomLM, copulaPolicy, USNG >, RandomLM< RandomDefaultLM, copulaPolicy, USNG >, RandomLM< RandomLossLM, copulaPolicy, USNG >, and ConstantLossModel< copulaPolicy >.

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

Expected RR for name conditinal to default by that date.

Reimplemented in RandomDefaultLM< copulaPolicy, USNG >, ConstantLossModel< copulaPolicy >, and GaussianLHPLossModel.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

splitESFLevel(3) is an alias of QuantLib_DefaultLossModel(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib