QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.20
Protected Attributes | Friends | List of all members
DefaultLossModel Class Referenceabstract

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

+ Inheritance diagram for DefaultLossModel:

Protected Attributes

RelinkableHandle< Basketbasket_
 

Friends

class Basket
 

Statistics

virtual Real expectedTrancheLoss (const Date &d) const
 
virtual Probability probOverLoss (const Date &d, Real lossFraction) const
 
virtual Real percentile (const Date &d, Real percentile) const
 Value at Risk given a default loss percentile.
 
virtual Real expectedShortfall (const Date &d, Real percentile) const
 Expected shortfall given a default loss percentile.
 
virtual Disposable< std::vector< Real > > splitVaRLevel (const Date &d, Real loss) const
 Associated VaR fraction to each counterparty.
 
virtual Disposable< std::vector< Real > > splitESFLevel (const Date &d, Real loss) const
 Associated ESF fraction to each counterparty.
 
virtual Disposable< std::map< Real, Probability > > lossDistribution (const Date &) const
 Full loss distribution.
 
virtual Real densityTrancheLoss (const Date &d, Real lossFraction) const
 Probability density of a given loss fraction of the basket notional.
 
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 Probability probAtLeastNEvents (Size n, const Date &d) const
 
virtual Real expectedRecovery (const Date &, Size iName, const DefaultProbKey &) const
 

Additional Inherited Members

- Public Member Functions inherited from Observable
 Observable (const Observable &)
 
Observableoperator= (const Observable &)
 
void notifyObservers ()
 

Detailed Description

Default loss model interface definition. Allows communication between the basket and specific algorithms. Intended to hold any kind of portfolio joint loss, latent models, top-down,....

An inconvenience of this design as opposed to the full arguments/results is that when pricing several derivatives instruments on the same basket not all the pricing engines would point to the same loss model; thus when pricing a set of such instruments there might be some switching on the basket loss models, which might require recalculations (of the basket) or not depending on the pricing order.

Member Function Documentation

◆ probOverLoss()

virtual Probability probOverLoss ( const Date d,
Real  lossFraction 
) const
protectedvirtual

Probability of the tranche losing the same or more than the fractional amount given.

The passed lossFraction is a fraction of losses over the tranche notional (not the portfolio).

Reimplemented in SaddlePointLossModel< CP >, and GaussianLHPLossModel.

◆ probsBeingNthEvent()

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

Probabilities for each of the (remaining) basket elements in the pool to have defaulted by time d and at the same time be the Nth defaulting name to default in the basket. This method is oriented to default order dependent portfolio pricing (e.g. NTDs) The the probabilities ordering in the vector coincides with the pool order.

Reimplemented in RandomLM< derivedRandomLM, copulaPolicy, USNG >.

◆ probAtLeastNEvents()

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

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

Reimplemented in RandomLM< derivedRandomLM, copulaPolicy, USNG >, and ConstantLossModel< copulaPolicy >.

◆ expectedRecovery()

virtual Real expectedRecovery ( const Date ,
Size  iName,
const DefaultProbKey  
) const
protectedvirtual

Expected RR for name conditinal to default by that date.

Reimplemented in ConstantLossModel< copulaPolicy >, and GaussianLHPLossModel.