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

Inheritance diagram for RandomLM< derivedRandomLM, copulaPolicy, USNG >:

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

Protected Member Functions inherited from LazyObject
virtual void	calculate () const

Protected Member Functions inherited from DefaultLossModel
virtual Probability	probOverLoss (const Date &d, Real lossFraction) const

virtual Disposable< std::vector< Real > >	splitESFLevel (const Date &d, Real loss) const
	Associated ESF fraction to each counterparty.

virtual Real	densityTrancheLoss (const Date &d, Real lossFraction) const
	Probability density of a given loss fraction of the basket notional.

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

Statistics, DefaultLossModel interface.
const Size	numFactors_

const Size	numLMVars_

const Size	nSims_

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

copulaPolicy	copula_

ext::shared_ptr< copulaRNG_type >	copulasRng_

static const Size	maxHorizon_ = 4050

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 ext::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

virtual	~RandomLM ()

Additional Inherited Members
Public Types inherited from Observer
typedef boost::unordered_set< ext::shared_ptr< Observable > >	set_type

typedef set_type::iterator	iterator

Public Member Functions inherited from LazyObject
void	update ()

void	recalculate ()

void	freeze ()

void	unfreeze ()

void	alwaysForwardNotifications ()

Public Member Functions inherited from Observable
	Observable (const Observable &)

Observable &	operator= (const Observable &)

void	notifyObservers ()

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 ()

Protected Attributes inherited from LazyObject
bool	calculated_

bool	frozen_

bool	alwaysForward_

Protected Attributes inherited from DefaultLossModel
RelinkableHandle< Basket >	basket_

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

◆ update()

void update ( )

protectedvirtual

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.

◆ performCalculations()

void performCalculations ( ) const

protectedvirtual

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

Implements LazyObject.

◆ probAtLeastNEvents()

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 from DefaultLossModel.

◆ probsBeingNthEvent()

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

protectedvirtual

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.

◆ percentileAndInterval()

ext::tuple< Real, Real, Real > percentileAndInterval	(	const Date &	d,
		Real	percentile
	)		const

protectedvirtual

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

◆ splitVaRLevel()

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

protectedvirtual

Distributes the total VaR amount along the portfolio counterparties. The passed loss amount is in loss units.

Reimplemented from DefaultLossModel.

◆ splitVaRAndError()

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

protectedvirtual

Distributes the total VaR amount along the portfolio counterparties.

Provides confidence interval for split so that portfolio optimization can be performed outside those limits.

The passed loss amount is in loss units.

Protected Member Functions

Statistics, DefaultLossModel interface.

Additional Inherited Members

Detailed Description

template<template< class, class > class derivedRandomLM, class copulaPolicy, class USNG = SobolRsg> class QuantLib::RandomLM< derivedRandomLM, copulaPolicy, USNG >

Member Function Documentation

◆ update()

◆ performCalculations()

◆ probAtLeastNEvents()

◆ probsBeingNthEvent()

◆ percentileAndInterval()

◆ splitVaRLevel()

◆ splitVaRAndError()

template<template< class, class > class derivedRandomLM, class copulaPolicy, class USNG = SobolRsg>
class QuantLib::RandomLM< derivedRandomLM, copulaPolicy, USNG >