QuantLib_InhomogeneousPoolLossModel man page

InhomogeneousPoolLossModel< copulaPolicy > — Default loss distribution convolution for finite non homogeneous pool.  

Synopsis

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

Inherits DefaultLossModel.

Public Types

typedef copulaPolicy copulaType

Public Member Functions

InhomogeneousPoolLossModel (const boost::shared_ptr< ConstantLossLatentmodel< copulaPolicy > > &copula, Size nBuckets, Real max=5., Real min=-5., Real nSteps=50)
Real expectedTrancheLoss (const Date &d) const
Real percentile (const Date &d, Real percentile) const
Value at Risk given a default loss percentile.
Real expectedShortfall (const Date &d, Probability percentile) const
Expected shortfall given a default loss percentile.

Protected Member Functions

Distribution lossDistrib (const Date &d) const

Protected Attributes

const boost::shared_ptr< ConstantLossLatentmodel< copulaPolicy > > copula_
Size nBuckets_
Real attach_
Real detach_
Real notional_
Real attachAmount_
Real detachAmount_
std::vector< Real > notionals_

Detailed Description

template<class copulaPolicy>

class QuantLib::InhomogeneousPoolLossModel< copulaPolicy >" Default loss distribution convolution for finite non homogeneous pool.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

The man page InhomogeneousPoolLossModel(3) is an alias of QuantLib_InhomogeneousPoolLossModel(3).

Wed Aug 2 2017 Version 1.10 QuantLib