QuantLib_GaussianLHPLossModel man page



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

Inherits DefaultLossModel, and LatentModel< GaussianCopulaPolicy >.

Public Types

typedef GaussianCopulaPolicy copulaType

Public Member Functions

GaussianLHPLossModel (const Handle< Quote > &correlQuote, const std::vector< Handle< RecoveryRateQuote > > &quotes)
GaussianLHPLossModel (Real correlation, const std::vector< Real > &recoveries)
GaussianLHPLossModel (const Handle< Quote > &correlQuote, const std::vector< Real > &recoveries)
void update ()
Real expectedTrancheLoss (const Date &d) const
Real probOverLoss (const Date &d, Real remainingLossFraction) const
Real expectedShortfall (const Date &d, Probability perctl) const
Returns the ESF as an absolute amount (rather than a fraction)
Real percentile (const Date &d, Real perctl) const
Value at Risk given a default loss percentile.
Probability averageProb (const Date &d) const
Real averageRecovery (const Date &d) const

Protected Member Functions

Real percentilePortfolioLossFraction (const Date &d, Real perctl) const
Real expectedRecovery (const Date &d, Size iName, const DefaultProbKey &ik) const

Additional Inherited Members

Detailed Description

Portfolio loss model with analytical expected tranche loss for a large homogeneous pool with Gaussian one-factor copula. See for example 'The Normal Inverse Gaussian Distribution for Synthetic CDO pricing.', Anna Kalemanova, Bernd Schmid, Ralf Werner, Journal of Derivatives, Vol. 14, No. 3, (Spring 2007), pp. 80-93. http://www.defaultrisk.com/pp_crdrv_91.htm

It can be used to price a credit derivative or to provide risk metrics of a portfolio.

Member Function Documentation

void update () [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.

Real probOverLoss (const Date & d, Real remainingLossFraction) const [virtual]

The passed remainingLossFraction is in live tranche units, not portfolio as a fraction of the remaining(live) tranche (i.e. a_remaining=0% and det_remaining=100%)

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.


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Referenced By

The man pages averageProb(3), averageRecovery(3), GaussianLHPLossModel(3) and percentilePortfolioLossFraction(3) are aliases of QuantLib_GaussianLHPLossModel(3).

Wed Feb 7 2018 Version 1.10.1 QuantLib