QuantLib_RecursiveLossModel man page

RecursiveLossModel< copulaPolicy >


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

Inherits DefaultLossModel.

Public Member Functions

RecursiveLossModel (const boost::shared_ptr< ConstantLossLatentmodel< copulaPolicy > > &m, Size nbuckets=1)
Real expectedTrancheLoss (const Date &date) const
Disposable< std::vector< Real > > lossProbability (const Date &date) const
Disposable< std::map< Real, Probability > > lossDistribution (const Date &d) const
Full loss distribution.
Real percentile (const Date &d, Real percentile) const
Value at Risk given a default loss percentile.
Real expectedShortfall (const Date &d, Real perctl) const
Expected shortfall given a default loss percentile.

Protected Member Functions

void resetModel ()
Concrete models do now any updates/inits they need on basket reset.

Protected Attributes

const boost::shared_ptr< ConstantLossLatentmodel< copulaPolicy > > copula_

Detailed Description

template<class copulaPolicy>

class QuantLib::RecursiveLossModel< copulaPolicy >" Recursive STCDO default loss model for a heterogeneous pool of names. The pool names are heterogeneous in their default probabilities, notionals and recovery rates. Correlations are given by the latent model. The recursive pricing algorithm used here is described in Andersen, Sidenius and Basu; 'All your hedges in one basket', Risk, November 2003, pages 67-72

Notice that using copulas other than Gaussian it is only an
approximation (see remark on p.68).


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Referenced By

The man pages RecursiveLossModel(3) and resetModel(3) are aliases of QuantLib_RecursiveLossModel(3).

Mon Apr 30 2018 Version 1.12.1 QuantLib