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

InhomogeneousPoolLossModel(3) is an alias of QuantLib_InhomogeneousPoolLossModel(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib