QuantLib_RandomDefaultLM man page

RandomDefaultLM< copulaPolicy, USNG > —

Synopsis

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

Inherits RandomLM< RandomDefaultLM, copulaPolicy, USNG >.

Public Member Functions

RandomDefaultLM (const boost::shared_ptr< DefaultLatentModel< copulaPolicy > > &copula, const std::vector< Real > &recoveries=std::vector< Real >(), Size nSims=0, Real accuracy=1.e-6, BigNatural seed=2863311530)

RandomDefaultLM (const boost::shared_ptr< ConstantLossLatentmodel< copulaPolicy > > &copula, Size nSims=0, Real accuracy=1.e-6, BigNatural seed=2863311530)

Protected Member Functions

void nextSample (const std::vector< Real > &values) const

void initDates () const

Real getEventRecovery (const defaultSimEvent &evt) const

Real expectedRecovery (const Date &, Size iName, const DefaultProbKey &) const

Real latentVarValue (const std::vector< Real > &factorsSample, Size iVar) const

Size basketSize () const

Friends

class RandomLM< ::QuantLib::RandomDefaultLM, copulaPolicy, USNG >

Additional Inherited Members

Detailed Description

template<class copulaPolicy, class USNG = SobolRsg>

class QuantLib::RandomDefaultLM< copulaPolicy, USNG >" Random default with deterministic recovery event type.

Stores sims results in a bitfield buffer for lean memory storage. Although strictly speaking this is not guaranteed by the compiler it amounts to reducing the memory storage by half. Some computations, like conditional statistics, precise that all sims results be available.

Default only latent model simulation with trivially fixed recovery amounts.

Member Function Documentation

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

getEventRecovery(3), initDates(3), nextSample(3) and RandomDefaultLM(3) are aliases of QuantLib_RandomDefaultLM(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib