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<h3 class="subtitle">A free/open-source library for quantitative finance</h3>
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<li class="navelem"><b>QuantLib</b> </li>
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<!-- doxytag: class="QuantLib::Basket" --><!-- doxytag: inherits="QuantLib::LazyObject" -->
<p><code>#include <ql/experimental/credit/basket.hpp></code></p>
<div class="dynheader">
Inheritance diagram for Basket:</div>
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<div class="center"><img src="class_quant_lib_1_1_basket__inherit__graph.png" border="0" usemap="#_basket_inherit__map" alt="Inheritance graph"/></div>
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<area shape="rect" id="node2" href="class_quant_lib_1_1_lazy_object.html" title="Framework for calculation on demand and result caching." alt="" coords="5,6,93,37"/></map>
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<p><a href="class_quant_lib_1_1_basket-members.html">List of all members.</a></p>
<table class="memberdecls">
<tr><td colspan="2"><h2><a name="pub-methods"></a>
Public Member Functions</h2></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a7c4dbc0343f722ed51c0951d8fb3f6f6"></a><!-- doxytag: member="QuantLib::Basket::Basket" ref="a7c4dbc0343f722ed51c0951d8fb3f6f6" args="(const std::vector< std::string > &names, const std::vector< Real > &notionals, const boost::shared_ptr< Pool > pool, const std::vector< DefaultProbKey > &defaultKeys, const std::vector< boost::shared_ptr< RecoveryRateModel > > &rrModels, Real attachmentRatio=0.0, Real detachmentRatio=1.0)" -->
 </td><td class="memItemRight" valign="bottom"><b>Basket</b> (const std::vector< std::string > &names, const std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > &notionals, const boost::shared_ptr< Pool > pool, const std::vector< <a class="el" href="class_quant_lib_1_1_default_prob_key.html">DefaultProbKey</a> > &defaultKeys, const std::vector< boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_recovery_rate_model.html">RecoveryRateModel</a> > > &rrModels, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> <a class="el" href="class_quant_lib_1_1_basket.html#ae2c349ef2d7c683cfdb5de15304f5381">attachmentRatio</a>=0.0, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> <a class="el" href="class_quant_lib_1_1_basket.html#a85441410da08738d337072dddaee4099">detachmentRatio</a>=1.0)</td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a9d78a687cf2a391198bb3cbc08bc06cb"></a><!-- doxytag: member="QuantLib::Basket::size" ref="a9d78a687cf2a391198bb3cbc08bc06cb" args="() const " -->
<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> </td><td class="memItemRight" valign="bottom"><b>size</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a5b0387412c808499b36a396389c29a83"></a><!-- doxytag: member="QuantLib::Basket::names" ref="a5b0387412c808499b36a396389c29a83" args="() const " -->
const std::vector< std::string > & </td><td class="memItemRight" valign="bottom"><b>names</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ad7ef279ce0caf915ed64893d6eac6514"></a><!-- doxytag: member="QuantLib::Basket::notionals" ref="ad7ef279ce0caf915ed64893d6eac6514" args="() const " -->
const std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > & </td><td class="memItemRight" valign="bottom"><b>notionals</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a97d3cd5d334da092fc761c75282410c1"></a><!-- doxytag: member="QuantLib::Basket::notional" ref="a97d3cd5d334da092fc761c75282410c1" args="()" -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>notional</b> ()</td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a66b18f6b86738726c2cd2b1c7bc70a9b"></a><!-- doxytag: member="QuantLib::Basket::pool" ref="a66b18f6b86738726c2cd2b1c7bc70a9b" args="() const " -->
boost::shared_ptr< Pool > </td><td class="memItemRight" valign="bottom"><b>pool</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a259631e3ae320781de336b4345ed3ba5"></a><!-- doxytag: member="QuantLib::Basket::defaultKeys" ref="a259631e3ae320781de336b4345ed3ba5" args="() const " -->
const std::vector<br class="typebreak"/>
< <a class="el" href="class_quant_lib_1_1_default_prob_key.html">DefaultProbKey</a> > & </td><td class="memItemRight" valign="bottom"><b>defaultKeys</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a18a6de68dafc5b3af6c14aed55d4d216"></a><!-- doxytag: member="QuantLib::Basket::recoveryModels" ref="a18a6de68dafc5b3af6c14aed55d4d216" args="() const " -->
const std::vector<br class="typebreak"/>
< boost::shared_ptr<br class="typebreak"/>
< <a class="el" href="class_quant_lib_1_1_recovery_rate_model.html">RecoveryRateModel</a> > > & </td><td class="memItemRight" valign="bottom"><b>recoveryModels</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top">const std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > & </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_basket.html#a17b7eb804694a2d7bf15358c552f6fa2">LGDs</a> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ab1e1ba3b401ff50b64f835425a53259f"></a><!-- doxytag: member="QuantLib::Basket::lgd" ref="ab1e1ba3b401ff50b64f835425a53259f" args="()" -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>lgd</b> ()</td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ae2c349ef2d7c683cfdb5de15304f5381"></a><!-- doxytag: member="QuantLib::Basket::attachmentRatio" ref="ae2c349ef2d7c683cfdb5de15304f5381" args="() const " -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_basket.html#ae2c349ef2d7c683cfdb5de15304f5381">attachmentRatio</a> () const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Attachment point expressed as a fraction of the total pool notional. <br/></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a85441410da08738d337072dddaee4099"></a><!-- doxytag: member="QuantLib::Basket::detachmentRatio" ref="a85441410da08738d337072dddaee4099" args="() const " -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_basket.html#a85441410da08738d337072dddaee4099">detachmentRatio</a> () const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Detachment point expressed as a fraction of the total pool notional. <br/></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a2ce2c4ae7660f1ebe254836867496515"></a><!-- doxytag: member="QuantLib::Basket::basketNotional" ref="a2ce2c4ae7660f1ebe254836867496515" args="() const " -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_basket.html#a2ce2c4ae7660f1ebe254836867496515">basketNotional</a> () const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Original basket notional ignoring any losses. <br/></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ae843bd7cc367d5094d6011bd427099ad"></a><!-- doxytag: member="QuantLib::Basket::basketLGD" ref="ae843bd7cc367d5094d6011bd427099ad" args="() const " -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_basket.html#ae843bd7cc367d5094d6011bd427099ad">basketLGD</a> () const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Original expected basket LGD. <br/></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="aa1c794e2cb9882a64af1b81010f5135a"></a><!-- doxytag: member="QuantLib::Basket::trancheNotional" ref="aa1c794e2cb9882a64af1b81010f5135a" args="() const " -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_basket.html#aa1c794e2cb9882a64af1b81010f5135a">trancheNotional</a> () const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Original tranche notional ignoring any losses. <br/></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a1e783ddb91eec4ad894e98b683469251"></a><!-- doxytag: member="QuantLib::Basket::attachmentAmount" ref="a1e783ddb91eec4ad894e98b683469251" args="() const " -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_basket.html#a1e783ddb91eec4ad894e98b683469251">attachmentAmount</a> () const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Attachment amount = <a class="el" href="class_quant_lib_1_1_basket.html#ae2c349ef2d7c683cfdb5de15304f5381" title="Attachment point expressed as a fraction of the total pool notional.">attachmentRatio()</a> * <a class="el" href="class_quant_lib_1_1_basket.html#a2ce2c4ae7660f1ebe254836867496515" title="Original basket notional ignoring any losses.">basketNotional()</a> <br/></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="abbbd21799e7062a9315458e632b0cfc3"></a><!-- doxytag: member="QuantLib::Basket::detachmentAmount" ref="abbbd21799e7062a9315458e632b0cfc3" args="() const " -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_basket.html#abbbd21799e7062a9315458e632b0cfc3">detachmentAmount</a> () const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Detachment amount = <a class="el" href="class_quant_lib_1_1_basket.html#a85441410da08738d337072dddaee4099" title="Detachment point expressed as a fraction of the total pool notional.">detachmentRatio()</a> * <a class="el" href="class_quant_lib_1_1_basket.html#a2ce2c4ae7660f1ebe254836867496515" title="Original basket notional ignoring any losses.">basketNotional()</a> <br/></td></tr>
<tr><td class="memItemLeft" align="right" valign="top">std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_basket.html#a949402598db9d9607901a5f2e5fd4f35">probabilities</a> (const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &d) const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_basket.html#a921364ca8a7cb5624d663562a1eeb8a3">cumulatedLoss</a> (const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &startDate, const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &endDate) const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_basket.html#af17463f541838ff0d64f6dccef86d5ad">remainingNotional</a> (const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &startDate, const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &endDate) const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top">std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_basket.html#a86fa812c30549a1c947780d73ef1396c">remainingNotionals</a> (const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &startDate, const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &endDate) const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top">std::vector< std::string > </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_basket.html#a04ea45b284bbb3313c9fcbcaac064309">remainingNames</a> (const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &startDate, const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &endDate) const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="aadd09422700558cc843f77577725f48a"></a><!-- doxytag: member="QuantLib::Basket::remainingDefaultKeys" ref="aadd09422700558cc843f77577725f48a" args="(const Date &startDate, const Date &endDate) const " -->
std::vector< <a class="el" href="class_quant_lib_1_1_default_prob_key.html">DefaultProbKey</a> > </td><td class="memItemRight" valign="bottom"><b>remainingDefaultKeys</b> (const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &startDate, const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &endDate) const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a30d39a91e3bf6a0bec028230f6cb7477"></a><!-- doxytag: member="QuantLib::Basket::remainingRecModels" ref="a30d39a91e3bf6a0bec028230f6cb7477" args="(const Date &startDate, const Date &endDate) const " -->
std::vector< boost::shared_ptr<br class="typebreak"/>
< <a class="el" href="class_quant_lib_1_1_recovery_rate_model.html">RecoveryRateModel</a> > > </td><td class="memItemRight" valign="bottom"><b>remainingRecModels</b> (const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &startDate, const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &endDate) const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_basket.html#a361f603b4f14069e6663065fd2a037f9">remainingAttachmentRatio</a> (const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &startDate, const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &endDate) const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a50bf1497b0ee2e46019d49c080e12cc6"></a><!-- doxytag: member="QuantLib::Basket::remainingAttachmentAmount" ref="a50bf1497b0ee2e46019d49c080e12cc6" args="(const Date &startDate, const Date &endDate) const " -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>remainingAttachmentAmount</b> (const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &startDate, const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &endDate) const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_basket.html#a5d41936d9e859f32a6c7e175bcd3cea9">remainingDetachmentRatio</a> (const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &startDate, const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &endDate) const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="aaddc0493aae56b7b97b7524107d3a587"></a><!-- doxytag: member="QuantLib::Basket::remainingDetachmentAmount" ref="aaddc0493aae56b7b97b7524107d3a587" args="(const Date &startDate, const Date &endDate) const " -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>remainingDetachmentAmount</b> (const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &startDate, const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &endDate) const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_basket.html#a06228acc680cbe559cbb488bd7d93017">updateScenarioLoss</a> (bool zeroRecovery=false)</td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="acaf4731df0cbd131390a0669f8882788"></a><!-- doxytag: member="QuantLib::Basket::scenarioTrancheLoss" ref="acaf4731df0cbd131390a0669f8882788" args="(Date endDate) const " -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_basket.html#acaf4731df0cbd131390a0669f8882788">scenarioTrancheLoss</a> (<a class="el" href="class_quant_lib_1_1_date.html">Date</a> endDate) const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Cumulative tranche loss up to end date under the current scenario. <br/></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a818a6f0dc52ab9d8c1a3258264996886"></a><!-- doxytag: member="QuantLib::Basket::scenarioIncrementalBasketLosses" ref="a818a6f0dc52ab9d8c1a3258264996886" args="() const " -->
std::vector< Loss > </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_basket.html#a818a6f0dc52ab9d8c1a3258264996886">scenarioIncrementalBasketLosses</a> () const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Vector of incremental basket losses under the current scenario. <br/></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a3728d7f8abd8cf6acd03f55a40db1504"></a><!-- doxytag: member="QuantLib::Basket::scenarioIncrementalTrancheLosses" ref="a3728d7f8abd8cf6acd03f55a40db1504" args="(Date startDate=Date::minDate(), Date endDate=Date::maxDate()) const " -->
std::vector< Loss > </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_basket.html#a3728d7f8abd8cf6acd03f55a40db1504">scenarioIncrementalTrancheLosses</a> (<a class="el" href="class_quant_lib_1_1_date.html">Date</a> startDate=<a class="el" href="class_quant_lib_1_1_date.html#a23625bfa1e742192c8983792debcf7c1">Date::minDate</a>(), <a class="el" href="class_quant_lib_1_1_date.html">Date</a> endDate=<a class="el" href="class_quant_lib_1_1_date.html#ab16674c4f64b17d89302cf0805f1fdbd">Date::maxDate</a>()) const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Vector of incremental tranche losses under the current scenario. <br/></td></tr>
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<hr/><a name="details" id="details"></a><h2>Detailed Description</h2>
<div class="textblock"><p>Credit <a class="el" href="class_quant_lib_1_1_basket.html">Basket</a>.</p>
<p>A basket is a collection of credit names, represented by a unique identifier (a text string), associated notional amounts, a pool and tranche information. The pool is a map of "names" to issuers. The <a class="el" href="class_quant_lib_1_1_basket.html">Basket</a> structure is motivated by <a class="el" href="class_quant_lib_1_1_c_d_o.html" title="collateralized debt obligation">CDO</a> squared instruments containing various underlying inner CDOs which can be represented by respective baskets including their tranche structure. The role of the Pool is providing a unique list of relevant issuers while names may appear multiple times across different baskets (overlap). </p>
</div><hr/><h2>Member Function Documentation</h2>
<a class="anchor" id="a17b7eb804694a2d7bf15358c552f6fa2"></a><!-- doxytag: member="QuantLib::Basket::LGDs" ref="a17b7eb804694a2d7bf15358c552f6fa2" args="() const " -->
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<td class="memname">const std::vector<<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a>>& <a class="el" href="class_quant_lib_1_1_basket.html#a17b7eb804694a2d7bf15358c552f6fa2">LGDs</a> </td>
<td>(</td>
<td class="paramname"></td><td>)</td>
<td> const</td>
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<p>Loss Given Default for all issuers/notionals based on expected recovery rates for the respective issuers. </p>
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<a class="anchor" id="a949402598db9d9607901a5f2e5fd4f35"></a><!-- doxytag: member="QuantLib::Basket::probabilities" ref="a949402598db9d9607901a5f2e5fd4f35" args="(const Date &d) const " -->
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<td class="memname">std::vector<<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a>> <a class="el" href="class_quant_lib_1_1_basket.html#a949402598db9d9607901a5f2e5fd4f35">probabilities</a> </td>
<td>(</td>
<td class="paramtype">const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> & </td>
<td class="paramname"><em>d</em></td><td>)</td>
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<p>Vector of cumulative default probability to date d for al issuers in the basket. </p>
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<a class="anchor" id="a921364ca8a7cb5624d663562a1eeb8a3"></a><!-- doxytag: member="QuantLib::Basket::cumulatedLoss" ref="a921364ca8a7cb5624d663562a1eeb8a3" args="(const Date &startDate, const Date &endDate) const " -->
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<td class="memname"><a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> <a class="el" href="class_quant_lib_1_1_basket.html#a921364ca8a7cb5624d663562a1eeb8a3">cumulatedLoss</a> </td>
<td>(</td>
<td class="paramtype">const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> & </td>
<td class="paramname"><em>startDate</em>, </td>
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<td class="paramkey"></td>
<td></td>
<td class="paramtype">const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> & </td>
<td class="paramname"><em>endDate</em> </td>
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<td></td>
<td>)</td>
<td></td><td> const</td>
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<p>Actual basket losses between start and end date, taking the actual recovery rates of loss events into account. </p>
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<a class="anchor" id="af17463f541838ff0d64f6dccef86d5ad"></a><!-- doxytag: member="QuantLib::Basket::remainingNotional" ref="af17463f541838ff0d64f6dccef86d5ad" args="(const Date &startDate, const Date &endDate) const " -->
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<td class="memname"><a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> <a class="el" href="class_quant_lib_1_1_basket.html#af17463f541838ff0d64f6dccef86d5ad">remainingNotional</a> </td>
<td>(</td>
<td class="paramtype">const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> & </td>
<td class="paramname"><em>startDate</em>, </td>
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<td class="paramkey"></td>
<td></td>
<td class="paramtype">const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> & </td>
<td class="paramname"><em>endDate</em> </td>
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<td></td>
<td>)</td>
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<p>Remaining basket notional after losses between start and end date. The full notional for defaulted names is subracted, recovery ignored. </p>
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<a class="anchor" id="a86fa812c30549a1c947780d73ef1396c"></a><!-- doxytag: member="QuantLib::Basket::remainingNotionals" ref="a86fa812c30549a1c947780d73ef1396c" args="(const Date &startDate, const Date &endDate) const " -->
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<td class="memname">std::vector<<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a>> <a class="el" href="class_quant_lib_1_1_basket.html#a86fa812c30549a1c947780d73ef1396c">remainingNotionals</a> </td>
<td>(</td>
<td class="paramtype">const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> & </td>
<td class="paramname"><em>startDate</em>, </td>
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<td class="paramkey"></td>
<td></td>
<td class="paramtype">const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> & </td>
<td class="paramname"><em>endDate</em> </td>
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<td></td>
<td>)</td>
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<p>Vector of surviving notionals after losses between start and end date, recovery ignored. </p>
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<a class="anchor" id="a04ea45b284bbb3313c9fcbcaac064309"></a><!-- doxytag: member="QuantLib::Basket::remainingNames" ref="a04ea45b284bbb3313c9fcbcaac064309" args="(const Date &startDate, const Date &endDate) const " -->
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<td class="memname">std::vector<std::string> <a class="el" href="class_quant_lib_1_1_basket.html#a04ea45b284bbb3313c9fcbcaac064309">remainingNames</a> </td>
<td>(</td>
<td class="paramtype">const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> & </td>
<td class="paramname"><em>startDate</em>, </td>
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<td class="paramkey"></td>
<td></td>
<td class="paramtype">const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> & </td>
<td class="paramname"><em>endDate</em> </td>
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<td></td>
<td>)</td>
<td></td><td> const</td>
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<p>Vector of surviving issuers after defaults between start and end date. </p>
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<a class="anchor" id="a361f603b4f14069e6663065fd2a037f9"></a><!-- doxytag: member="QuantLib::Basket::remainingAttachmentRatio" ref="a361f603b4f14069e6663065fd2a037f9" args="(const Date &startDate, const Date &endDate) const " -->
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<td class="memname"><a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> <a class="el" href="class_quant_lib_1_1_basket.html#a361f603b4f14069e6663065fd2a037f9">remainingAttachmentRatio</a> </td>
<td>(</td>
<td class="paramtype">const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> & </td>
<td class="paramname"><em>startDate</em>, </td>
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<td class="paramkey"></td>
<td></td>
<td class="paramtype">const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> & </td>
<td class="paramname"><em>endDate</em> </td>
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<td></td>
<td>)</td>
<td></td><td> const</td>
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<p>The remaining attachment amount is RAA = max (0, attachmentAmount - <a class="el" href="class_quant_lib_1_1_basket.html#a921364ca8a7cb5624d663562a1eeb8a3">cumulatedLoss()</a>)</p>
<p>The remaining attachment ratio is then RAR = RAA / <a class="el" href="class_quant_lib_1_1_basket.html#af17463f541838ff0d64f6dccef86d5ad">remainingNotional()</a> </p>
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<a class="anchor" id="a5d41936d9e859f32a6c7e175bcd3cea9"></a><!-- doxytag: member="QuantLib::Basket::remainingDetachmentRatio" ref="a5d41936d9e859f32a6c7e175bcd3cea9" args="(const Date &startDate, const Date &endDate) const " -->
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<td class="memname"><a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> <a class="el" href="class_quant_lib_1_1_basket.html#a5d41936d9e859f32a6c7e175bcd3cea9">remainingDetachmentRatio</a> </td>
<td>(</td>
<td class="paramtype">const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> & </td>
<td class="paramname"><em>startDate</em>, </td>
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<td class="paramkey"></td>
<td></td>
<td class="paramtype">const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> & </td>
<td class="paramname"><em>endDate</em> </td>
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<td></td>
<td>)</td>
<td></td><td> const</td>
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<p>The remaining detachment amount is RDA = max (0, detachmentAmount - <a class="el" href="class_quant_lib_1_1_basket.html#a921364ca8a7cb5624d663562a1eeb8a3">cumulatedLoss()</a>)</p>
<p>The remaining detachment ratio is then RDR = RDA / <a class="el" href="class_quant_lib_1_1_basket.html#af17463f541838ff0d64f6dccef86d5ad">remainingNotional()</a> </p>
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<a class="anchor" id="a06228acc680cbe559cbb488bd7d93017"></a><!-- doxytag: member="QuantLib::Basket::updateScenarioLoss" ref="a06228acc680cbe559cbb488bd7d93017" args="(bool zeroRecovery=false)" -->
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<td class="memname">void <a class="el" href="class_quant_lib_1_1_basket.html#a06228acc680cbe559cbb488bd7d93017">updateScenarioLoss</a> </td>
<td>(</td>
<td class="paramtype">bool </td>
<td class="paramname"><em>zeroRecovery</em> = <code>false</code></td><td>)</td>
<td></td>
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<p>Based on the default times stored in the Pool for each name, update the vector of incremental basket losses (sorted by default time) for this basket. If zeroRecovery is set to true, losses are full notional amounts, otherwise loss give defaults. </p>
</div>
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