# QuantLib_GaussianLHPLossModel man page

GaussianLHPLossModel

## Synopsis

`#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** > > "es)**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]

**Parameters:***remainingLossFraction*fraction 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**.

## Author

Generated automatically by Doxygen for QuantLib from the source code.

## Referenced By

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