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 Jun 2 2017 Version 1.10 QuantLib