A free/open-source library for quantitative finance
Reference manual - version 1.20
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A free/open-source library for quantitative finance
Reference manual - version 1.20
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#include <ql/experimental/credit/constantlosslatentmodel.hpp>
Inheritance diagram for ConstantLossLatentmodel< copulaPolicy >:Public Member Functions | |
| ConstantLossLatentmodel (const std::vector< std::vector< Real > > &factorWeights, const std::vector< Real > &recoveries, LatentModelIntegrationType::LatentModelIntegrationType integralType, const initTraits &ini=initTraits()) | |
| ConstantLossLatentmodel (const Handle< Quote > &mktCorrel, const std::vector< Real > &recoveries, LatentModelIntegrationType::LatentModelIntegrationType integralType, Size nVariables, const initTraits &ini=initTraits()) | |
| Real | conditionalRecovery (const Date &d, Size iName, const std::vector< Real > &mktFactors) const |
| Real | conditionalRecovery (Probability uncondDefP, Size iName, const std::vector< Real > &mktFactors) const |
| Real | conditionalRecoveryInvP (Real invUncondDefP, Size iName, const std::vector< Real > &mktFactors) const |
| Real | conditionalRecovery (Real latentVarSample, Size iName, const Date &d) const |
| const std::vector< Real > & | recoveries () const |
| Real | expectedRecovery (const Date &d, Size iName, const DefaultProbKey &defKeys) const |
| Public Member Functions inherited from DefaultLatentModel< copulaPolicy > | |
| DefaultLatentModel (const std::vector< std::vector< Real > > &factorWeights, LatentModelIntegrationType::LatentModelIntegrationType integralType, const initTraits &ini=initTraits()) | |
| DefaultLatentModel (const Handle< Quote > &mktCorrel, Size nVariables, LatentModelIntegrationType::LatentModelIntegrationType integralType, const initTraits &ini=initTraits()) | |
| void | resetBasket (const ext::shared_ptr< Basket > &basket) const |
| Probability | conditionalDefaultProbability (Probability prob, Size iName, const std::vector< Real > &mktFactors) const |
| Probability | conditionalDefaultProbabilityInvP (Real invCumYProb, Size iName, const std::vector< Real > &m) const |
| Probability | probOfDefault (Size iName, const Date &d) const |
| Real | defaultCorrelation (const Date &d, Size iNamei, Size iNamej) const |
| Probability | probAtLeastNEvents (Size n, const Date &date) const |
| Public Member Functions inherited from LatentModel< copulaPolicy > | |
| void | update () |
| Size | size () const |
| Size | numFactors () const |
| Number of systemic factors. | |
| Size | numTotalFactors () const |
| Number of total free random factors; systemic and idiosyncratic. | |
| LatentModel (const std::vector< std::vector< Real > > &factorsWeights, const typename copulaType::initTraits &ini=copulaType::initTraits()) | |
| LatentModel (const std::vector< Real > &factorsWeight, const typename copulaType::initTraits &ini=copulaType::initTraits()) | |
| LatentModel (Real correlSqr, Size nVariables, const typename copulaType::initTraits &ini=copulaType::initTraits()) | |
| LatentModel (const Handle< Quote > &singleFactorCorrel, Size nVariables, const typename copulaType::initTraits &ini=copulaType::initTraits()) | |
| const std::vector< std::vector< Real > > & | factorWeights () const |
| Provides values of the factors \( a_{i,k} \). | |
| const std::vector< Real > & | idiosyncFctrs () const |
| Provides values of the normalized idiosyncratic factors \( Z_i \). | |
| Real | latentVariableCorrel (Size iVar1, Size iVar2) const |
| Latent variable correlations: | |
| Probability | cumulativeY (Real val, Size iVariable) const |
| Probability | cumulativeZ (Real z) const |
| Cumulative distribution of Z, the idiosyncratic/error factors. | |
| Probability | density (const std::vector< Real > &m) const |
| Density function of M, the market/systemic factors. | |
| Real | inverseCumulativeDensity (Probability p, Size iFactor) const |
| Inverse cumulative distribution of the systemic factor iFactor. | |
| Real | inverseCumulativeY (Probability p, Size iVariable) const |
| Real | inverseCumulativeZ (Probability p) const |
| Disposable< std::vector< Real > > | allFactorCumulInverter (const std::vector< Real > &probs) const |
| Real | latentVarValue (const std::vector< Real > &allFactors, Size iVar) const |
| const copulaType & | copula () const |
| Real | integratedExpectedValue (const ext::function< Real(const std::vector< Real > &v1)> &f) const |
| Disposable< std::vector< Real > > | integratedExpectedValue (const ext::function< Disposable< std::vector< Real > >(const std::vector< Real > &v1)> &f) const |
| Public Member Functions inherited from Observer | |
| Observer (const Observer &) | |
| Observer & | operator= (const Observer &) |
| std::pair< iterator, bool > | registerWith (const ext::shared_ptr< Observable > &) |
| void | registerWithObservables (const ext::shared_ptr< Observer > &) |
| Size | unregisterWith (const ext::shared_ptr< Observable > &) |
| void | unregisterWithAll () |
| virtual void | deepUpdate () |
| Public Member Functions inherited from Observable | |
| Observable (const Observable &) | |
| Observable & | operator= (const Observable &) |
| void | notifyObservers () |
Additional Inherited Members | |
| Public Types inherited from LatentModel< copulaPolicy > | |
| typedef copulaPolicy | copulaType |
| Public Types inherited from Observer | |
| typedef boost::unordered_set< ext::shared_ptr< Observable > > | set_type |
| typedef set_type::iterator | iterator |
| Protected Member Functions inherited from DefaultLatentModel< copulaPolicy > | |
| void | update () |
| Probability | conditionalDefaultProbability (const Date &date, Size iName, const std::vector< Real > &mktFactors) const |
| Probability | condProbProduct (Real invCumYProb1, Real invCumYProb2, Size iName1, Size iName2, const std::vector< Real > &mktFactors) const |
| Real | conditionalProbAtLeastNEvents (Size n, const Date &date, const std::vector< Real > &mktFactors) const |
| Conditional probability of n default events or more. | |
| const ext::shared_ptr< LMIntegration > & | integration () const |
| access to integration: | |
| Protected Member Functions inherited from LatentModel< copulaPolicy > | |
| virtual const ext::shared_ptr< LMIntegration > & | integration () const |
| Protected Attributes inherited from DefaultLatentModel< copulaPolicy > | |
| ext::shared_ptr< Basket > | basket_ |
| ext::shared_ptr< LMIntegration > | integration_ |
| Protected Attributes inherited from LatentModel< copulaPolicy > | |
| std::vector< std::vector< Real > > | factorWeights_ |
| Handle< Quote > | cachedMktFactor_ |
| std::vector< Real > | idiosyncFctrs_ |
| Size | nFactors_ |
| Number of systemic factors. | |
| Size | nVariables_ |
| Number of latent model variables, idiosyncratic terms or model dim. | |
| copulaType | copula_ |
Constant deterministic loss amount default latent model. Integrable implementation.
