QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.20
Public Member Functions | List of all members
CreditRiskPlus Class Reference

#include <ql/experimental/risk/creditriskplus.hpp>

Public Member Functions

 CreditRiskPlus (const std::vector< Real > &exposure, const std::vector< Real > &defaultProbability, const std::vector< Size > &sector, const std::vector< Real > &relativeDefaultVariance, const Matrix &correlation, Real unit)
 
const std::vector< Real > & loss ()
 
const std::vector< Real > & marginalLoss ()
 
Real exposure () const
 
Real expectedLoss () const
 
Real unexpectedLoss () const
 
Real relativeDefaultVariance () const
 
const std::vector< Real > & sectorExposures () const
 
const std::vector< Real > & sectorExpectedLoss () const
 
const std::vector< Real > & sectorUnexpectedLoss () const
 
Real lossQuantile (Real p)
 

Detailed Description

Extended CreditRisk+ model as described in [1] Integrating Correlations, Risk, July 1999 and the references therein.

Warning:
the input correlation matrix is not checked for positive definiteness