QuantLib_RandomLM man page

RandomLM< derivedRandomLM, copulaPolicy, USNG > —

Synopsis

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

Inherits LazyObject, and DefaultLossModel.

Protected Member Functions

RandomLM (Size numFactors, Size numLMVars, const copulaPolicy &copula, Size nSims, BigNatural seed)

void update ()

void performCalculations () const

void performSimulations () const

const std::vector< simEvent< derivedRandomLM< copulaPolicy, USNG > > > & getSim (const Size iSim) const

Real getEventRecovery (const simEvent< derivedRandomLM< copulaPolicy, USNG > > &evt) const

Statistics, DefaultLossModel interface.

virtual Probability probAtLeastNEvents (Size n, const Date &d) const

virtual Disposable< std::vector< Probability > > probsBeingNthEvent (Size n, const Date &d) const

virtual Real defaultCorrelation (const Date &d, Size iName, Size jName) const
Pearsons' default probability correlation.
virtual Real expectedTrancheLoss (const Date &d) const

virtual std::pair< Real, Real > expectedTrancheLossInterval (const Date &d, Probability confidencePerc) const

virtual Disposable< std::map< Real, Probability > > lossDistribution (const Date &d) const
Full loss distribution.
virtual Histogram computeHistogram (const Date &d) const

virtual Real expectedShortfall (const Date &d, Real percent) const
Expected shortfall given a default loss percentile.
virtual Real percentile (const Date &d, Real percentile) const
Value at Risk given a default loss percentile.
virtual boost::tuples::tuple< Real, Real, Real > percentileAndInterval (const Date &d, Real percentile) const

virtual Disposable< std::vector< Real > > splitVaRLevel (const Date &date, Real loss) const

virtual Disposable< std::vector< std::vector< Real > > > splitVaRAndError (const Date &date, Real loss, Probability confInterval) const

Protected Attributes

const Size numFactors_

const Size numLMVars_

const Size nSims_

std::vector< std::vector< simEvent< derivedRandomLM< copulaPolicy, USNG > > > > simsBuffer_

copulaPolicy copula_

boost::shared_ptr< copulaRNG_type > copulasRng_

Static Protected Attributes

static const Size maxHorizon_ = 4050

Additional Inherited Members

Detailed Description

template<template< class, class > class derivedRandomLM, class copulaPolicy, class USNG = SobolRsg>

class QuantLib::RandomLM< derivedRandomLM, copulaPolicy, USNG >" Base class for latent model monte carlo simulation. Independent of the copula type and the generator. Generates the factors and variable samples and determines event threshold but it is not responsible for actual event specification; thats the derived classes responsibility according to what they model. Derived classes need mainly to implement nextSample (Worker::nextSample in the multithreaded version) to compute the simulation event generated, if any, from the latent variables sample. They also have the accompanying event trait to specify.

Member Function Documentation

void update () [protected], [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.

void performCalculations () const [protected], [virtual]

This method must implement any calculations which must be (re)done in order to calculate the desired results.

Implements LazyObject.

Probability probAtLeastNEvents (Size n, const Date & d) const [protected], [virtual]

Returns the probaility of having a given or larger number of defaults in the basket portfolio at a given time.

Reimplemented from DefaultLossModel.

Disposable< std::vector< Probability > > probsBeingNthEvent (Size n, const Date & d) const [protected], [virtual]

Order of results refers to the simulated (super)pool not the basket's pool. Notice that this statistic suffers from heavy dispersion. To see techniques to improve it (not implemented here) see: Joshi, M., D. Kainth. 2004. Rapid and accurate development of prices and Greeks for nth to default credit swaps in the Li model. Quantitative Finance, Vol. 4. Institute of Physics Publishing, London, UK, 266-275 and: Chen, Z., Glasserman, P. 'Fast pricing of basket default swaps' in Operations Research Vol. 56, No. 2, March-April 2008, pp. 286-303

Reimplemented from DefaultLossModel.

boost::tuples::tuple< Real, Real, Real > percentileAndInterval (const Date & d, Real percentile) const [protected], [virtual]

Returns the VaR value for a given percentile and the 95 confidence interval of that value.

Disposable< std::vector< Real > > splitVaRLevel (const Date & date, Real loss) const [protected], [virtual]

Distributes the total VaR amount along the portfolio counterparties.

Parameters:

loss Loss amount (in loss units).

Reimplemented from DefaultLossModel.

Disposable< std::vector< std::vector< Real > > > splitVaRAndError (const Date & date, Real loss, Probability confInterval) const [protected], [virtual]

Distributes the total VaR amount along the portfolio counterparties. Provides confidence interval for split so that portfolio optimization can be performed outside those limits.

Parameters:

loss Loss amount (in loss units).

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

computeHistogram(3), copulasRng_(3), expectedTrancheLossInterval(3), getSim(3), maxHorizon_(3), nSims_(3), numFactors_(3), numLMVars_(3), percentileAndInterval(3), performSimulations(3), RandomLM(3), simsBuffer_(3) and splitVaRAndError(3) are aliases of QuantLib_RandomLM(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib