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<div class="title">BasketLosses.cpp</div> </div>
</div><!--header-->
<div class="contents">
<p>This example shows how to model losses across correlated assets.</p>
<div class="fragment"><div class="line"><span class="comment">/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */</span></div>
<div class="line"> </div>
<div class="line"><span class="comment">/*</span></div>
<div class="line"><span class="comment"> Copyright (C) 2014 Jose Aparicio</span></div>
<div class="line"><span class="comment"></span> </div>
<div class="line"><span class="comment"> This file is part of QuantLib, a free-software/open-source library</span></div>
<div class="line"><span class="comment"> for financial quantitative analysts and developers - http://quantlib.org/</span></div>
<div class="line"><span class="comment"></span> </div>
<div class="line"><span class="comment"> QuantLib is free software: you can redistribute it and/or modify it</span></div>
<div class="line"><span class="comment"> under the terms of the QuantLib license. You should have received a</span></div>
<div class="line"><span class="comment"> copy of the license along with this program; if not, please email</span></div>
<div class="line"><span class="comment"> <quantlib-dev@lists.sf.net>. The license is also available online at</span></div>
<div class="line"><span class="comment"> <http://quantlib.org/license.shtml>.</span></div>
<div class="line"><span class="comment"></span> </div>
<div class="line"><span class="comment"> This program is distributed in the hope that it will be useful, but WITHOUT</span></div>
<div class="line"><span class="comment"> ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS</span></div>
<div class="line"><span class="comment"> FOR A PARTICULAR PURPOSE. See the license for more details.</span></div>
<div class="line"><span class="comment">*/</span></div>
<div class="line"> </div>
<div class="line"><span class="preprocessor">#include <ql/qldefines.hpp></span></div>
<div class="line"><span class="preprocessor">#ifdef BOOST_MSVC</span></div>
<div class="line"><span class="preprocessor"># include <ql/auto_link.hpp></span></div>
<div class="line"><span class="preprocessor">#endif</span></div>
<div class="line"><span class="preprocessor">#include <ql/experimental/credit/gaussianlhplossmodel.hpp></span></div>
<div class="line"><span class="preprocessor">#include <ql/experimental/credit/constantlosslatentmodel.hpp></span></div>
<div class="line"><span class="preprocessor">#include <ql/experimental/credit/binomiallossmodel.hpp></span></div>
<div class="line"><span class="preprocessor">#include <ql/experimental/credit/randomdefaultlatentmodel.hpp></span></div>
<div class="line"><span class="preprocessor">#include <ql/experimental/credit/randomlosslatentmodel.hpp></span></div>
<div class="line"><span class="preprocessor">#include <ql/experimental/credit/spotlosslatentmodel.hpp></span></div>
<div class="line"><span class="preprocessor">#include <ql/experimental/credit/basecorrelationlossmodel.hpp></span></div>
<div class="line"><span class="preprocessor">#include <ql/termstructures/credit/flathazardrate.hpp></span></div>
<div class="line"><span class="preprocessor">#include <ql/time/daycounters/actual365fixed.hpp></span></div>
<div class="line"><span class="preprocessor">#include <ql/time/calendars/target.hpp></span></div>
<div class="line"><span class="preprocessor">#include <ql/currencies/europe.hpp></span></div>
<div class="line"> </div>
<div class="line"><span class="preprocessor">#include <boost/assign/std/vector.hpp></span></div>
<div class="line"> </div>
<div class="line"><span class="preprocessor">#include <iostream></span></div>
<div class="line"><span class="preprocessor">#include <iomanip></span></div>
<div class="line"><span class="preprocessor">#include <string></span></div>
<div class="line"> </div>
<div class="line"><span class="keyword">using namespace </span>std;</div>
<div class="line"><span class="keyword">using namespace </span><a class="code" href="namespace_quant_lib.html">QuantLib</a>;</div>
<div class="line"><span class="keyword">using namespace </span>boost::assign;</div>
<div class="line"> </div>
<div class="line"><span class="preprocessor">#if defined(QL_ENABLE_SESSIONS)</span></div>
<div class="line"><span class="keyword">namespace </span><a class="code" href="namespace_quant_lib.html">QuantLib</a> {</div>
<div class="line"> ThreadKey sessionId() { <span class="keywordflow">return</span> 0; }</div>
<div class="line">}</div>
<div class="line"><span class="preprocessor">#endif</span></div>
<div class="line"> </div>
<div class="line"><span class="keywordtype">int</span> main(<span class="keywordtype">int</span>, <span class="keywordtype">char</span>* []) {</div>
<div class="line"> </div>
<div class="line"> <span class="keywordflow">try</span> {</div>
<div class="line"> </div>
<div class="line"> std::cout << std::endl;</div>
<div class="line"> </div>
<div class="line"> <a name="_a0"></a><a class="code" href="class_quant_lib_1_1_calendar.html" title="calendar class">Calendar</a> calendar = <a name="_a1"></a><a class="code" href="class_quant_lib_1_1_t_a_r_g_e_t.html" title="TARGET calendar">TARGET</a>();</div>
<div class="line"> <a name="_a2"></a><a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a> todaysDate(19, March, 2014);</div>
<div class="line"> <span class="comment">// must be a business day</span></div>
<div class="line"> todaysDate = calendar.<a name="a3"></a><a class="code" href="class_quant_lib_1_1_calendar.html#a712629806d9ef9a39f8144f368c81e4b">adjust</a>(todaysDate);</div>
<div class="line"> </div>
<div class="line"> Settings::instance().evaluationDate() = todaysDate;</div>
<div class="line"> </div>
<div class="line"> </div>
<div class="line"> <span class="comment">/* --------------------------------------------------------------</span></div>
<div class="line"><span class="comment"> SET UP BASKET PORTFOLIO</span></div>
<div class="line"><span class="comment"> -------------------------------------------------------------- */</span></div>
<div class="line"> <span class="comment">// build curves and issuers into a basket of ten names</span></div>
<div class="line"> std::vector<Real> hazardRates;</div>
<div class="line"> hazardRates += </div>
<div class="line"> <span class="comment">// 0.01, 0.1, 0.2, 0.3, 0.4, 0.5, 0.6, 0.7, 0.8, 0.9; </span></div>
<div class="line"> 0.001, 0.01, 0.02, 0.03, 0.04, 0.05, 0.06, 0.07, 0.08, 0.09; </div>
<div class="line"> <span class="comment">// 0.01, 0.01, 0.01, 0.01, 0.01, 0.01, 0.01, 0.01, 0.01, 0.01; </span></div>
<div class="line"> std::vector<std::string> names;</div>
<div class="line"> <span class="keywordflow">for</span>(<a class="code" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> i=0; i<hazardRates.size(); i++)</div>
<div class="line"> names.push_back(std::string(<span class="stringliteral">"Acme"</span>) + </div>
<div class="line"> boost::lexical_cast<std::string>(i));</div>
<div class="line"> std::vector<Handle<DefaultProbabilityTermStructure> > defTS;</div>
<div class="line"> <span class="keywordflow">for</span>(<a class="code" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> i=0; i<hazardRates.size(); i++) {</div>
<div class="line"> defTS.push_back(<a name="_a4"></a><a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<DefaultProbabilityTermStructure></a>(</div>
<div class="line"> ext::make_shared<FlatHazardRate>(0, <a class="code" href="class_quant_lib_1_1_t_a_r_g_e_t.html" title="TARGET calendar">TARGET</a>(), hazardRates[i], </div>
<div class="line"> <a name="_a5"></a><a class="code" href="class_quant_lib_1_1_actual365_fixed.html" title="Actual/365 (Fixed) day count convention.">Actual365Fixed</a>())));</div>
<div class="line"> defTS.back()->enableExtrapolation();</div>
<div class="line"> }</div>
<div class="line"> std::vector<Issuer> issuers;</div>
<div class="line"> <span class="keywordflow">for</span>(<a class="code" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> i=0; i<hazardRates.size(); i++) {</div>
<div class="line"> std::vector<QuantLib::Issuer::key_curve_pair> curves(1, </div>
<div class="line"> std::make_pair(<a name="_a6"></a><a class="code" href="class_quant_lib_1_1_north_america_corp_default_key.html" title="ISDA standard default contractual key for corporate US debt.">NorthAmericaCorpDefaultKey</a>(</div>
<div class="line"> <a name="_a7"></a><a class="code" href="class_quant_lib_1_1_e_u_r_currency.html" title="European Euro.">EURCurrency</a>(), QuantLib::SeniorSec,</div>
<div class="line"> <a name="_a8"></a><a class="code" href="class_quant_lib_1_1_period.html">Period</a>(), 1. <span class="comment">// amount threshold</span></div>
<div class="line"> ), defTS[i]));</div>
<div class="line"> issuers.push_back(Issuer(curves));</div>
<div class="line"> }</div>
<div class="line"> </div>
<div class="line"> ext::shared_ptr<Pool> thePool = ext::make_shared<Pool>();</div>
<div class="line"> <span class="keywordflow">for</span>(<a class="code" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> i=0; i<hazardRates.size(); i++)</div>
<div class="line"> thePool->add(names[i], issuers[i], <a class="code" href="class_quant_lib_1_1_north_america_corp_default_key.html" title="ISDA standard default contractual key for corporate US debt.">NorthAmericaCorpDefaultKey</a>(</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_e_u_r_currency.html" title="European Euro.">EURCurrency</a>(), QuantLib::SeniorSec, <a class="code" href="class_quant_lib_1_1_period.html">Period</a>(), 1.));</div>
<div class="line"> </div>
<div class="line"> std::vector<DefaultProbKey> defaultKeys(hazardRates.size(), </div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_north_america_corp_default_key.html" title="ISDA standard default contractual key for corporate US debt.">NorthAmericaCorpDefaultKey</a>(<a class="code" href="class_quant_lib_1_1_e_u_r_currency.html" title="European Euro.">EURCurrency</a>(), SeniorSec, <a class="code" href="class_quant_lib_1_1_period.html">Period</a>(), 1.));</div>
<div class="line"> ext::shared_ptr<Basket> theBskt = ext::make_shared<Basket>(</div>
<div class="line"> todaysDate, </div>
<div class="line"> names, std::vector<Real>(hazardRates.size(), 100.), thePool,</div>
<div class="line"> <span class="comment">// 0.0, 0.78);</span></div>
<div class="line"> 0.03, .06);</div>
<div class="line"> </div>
<div class="line"> <span class="comment">/* --------------------------------------------------------------</span></div>
<div class="line"><span class="comment"> SET UP DEFAULT LOSS MODELS</span></div>
<div class="line"><span class="comment"> -------------------------------------------------------------- */</span></div>
<div class="line"> </div>
<div class="line"> std::vector<Real> recoveries(hazardRates.size(), 0.4);</div>
<div class="line"> </div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a> calcDate(<a class="code" href="class_quant_lib_1_1_t_a_r_g_e_t.html" title="TARGET calendar">TARGET</a>().advance(Settings::instance().evaluationDate(), </div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_period.html">Period</a>(60, Months)));</div>
<div class="line"> <a name="a9"></a><a class="code" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78" title="real number">Real</a> factorValue = 0.05;</div>
<div class="line"> std::vector<std::vector<Real> > fctrsWeights(hazardRates.size(), </div>
<div class="line"> std::vector<Real>(1, std::sqrt(factorValue)));</div>
<div class="line"> </div>
<div class="line"> <span class="comment">// --- LHP model --------------------------</span></div>
<div class="line"><span class="preprocessor"> #ifndef QL_PATCH_SOLARIS</span></div>
<div class="line"> ext::shared_ptr<DefaultLossModel> lmGLHP(</div>
<div class="line"> ext::make_shared<GaussianLHPLossModel>(</div>
<div class="line"> fctrsWeights[0][0] * fctrsWeights[0][0], recoveries));</div>
<div class="line"> theBskt->setLossModel(lmGLHP);</div>
<div class="line"> </div>
<div class="line"> std::cout << <span class="stringliteral">"GLHP Expected 10-Yr Losses: "</span> << std::endl;</div>
<div class="line"> std::cout << theBskt->expectedTrancheLoss(calcDate) << std::endl;</div>
<div class="line"> </div>
<div class="line"> <span class="comment">// --- G Binomial model --------------------</span></div>
<div class="line"> ext::shared_ptr<GaussianConstantLossLM> ktLossLM(</div>
<div class="line"> ext::make_shared<GaussianConstantLossLM>(fctrsWeights, </div>
<div class="line"> recoveries, LatentModelIntegrationType::GaussianQuadrature, </div>
<div class="line"> GaussianCopulaPolicy::initTraits()));</div>
<div class="line"> ext::shared_ptr<DefaultLossModel> lmBinomial(</div>
<div class="line"> ext::make_shared<GaussianBinomialLossModel>(ktLossLM));</div>
<div class="line"> theBskt->setLossModel(lmBinomial);</div>
<div class="line"> </div>
<div class="line"> std::cout << <span class="stringliteral">"Gaussian Binomial Expected 10-Yr Losses: "</span> << std::endl;</div>
<div class="line"> std::cout << theBskt->expectedTrancheLoss(calcDate) << std::endl;</div>
<div class="line"> </div>
<div class="line"><span class="preprocessor"> #endif</span></div>
<div class="line"> </div>
<div class="line"> <span class="comment">// --- T Binomial model --------------------</span></div>
<div class="line"> <a name="_a10"></a><a class="code" href="struct_quant_lib_1_1_t_copula_policy_1_1init_traits.html">TCopulaPolicy::initTraits</a> initT;</div>
<div class="line"> initT.<a name="a11"></a>tOrders = std::vector<Integer>(2, 3);</div>
<div class="line"> ext::shared_ptr<TConstantLossLM> ktTLossLM(</div>
<div class="line"> ext::make_shared<TConstantLossLM>(fctrsWeights, </div>
<div class="line"> recoveries, </div>
<div class="line"> <span class="comment">//LatentModelIntegrationType::GaussianQuadrature,</span></div>
<div class="line"> LatentModelIntegrationType::Trapezoid,</div>
<div class="line"> initT));</div>
<div class="line"> ext::shared_ptr<DefaultLossModel> lmTBinomial(</div>
<div class="line"> ext::make_shared<TBinomialLossModel>(ktTLossLM));</div>
<div class="line"> theBskt->setLossModel(lmTBinomial);</div>
<div class="line"> </div>
<div class="line"> std::cout << <span class="stringliteral">"T Binomial Expected 10-Yr Losses: "</span> << std::endl;</div>
<div class="line"> std::cout << theBskt->expectedTrancheLoss(calcDate) << std::endl;</div>
<div class="line"> </div>
<div class="line"> <span class="comment">// --- G Inhomogeneous model ---------------</span></div>
<div class="line"> <a class="code" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> numSimulations = 100000;</div>
<div class="line"><span class="preprocessor"> #ifndef QL_PATCH_SOLARIS</span></div>
<div class="line"> ext::shared_ptr<GaussianConstantLossLM> gLM(</div>
<div class="line"> ext::make_shared<GaussianConstantLossLM>(fctrsWeights, </div>
<div class="line"> recoveries,</div>
<div class="line"> LatentModelIntegrationType::GaussianQuadrature,</div>
<div class="line"> <span class="comment">// g++ requires this when using make_shared</span></div>
<div class="line"> GaussianCopulaPolicy::initTraits()));</div>
<div class="line"> </div>
<div class="line"> <a class="code" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> numBuckets = 100;</div>
<div class="line"> ext::shared_ptr<DefaultLossModel> inhomogeneousLM(</div>
<div class="line"> ext::make_shared<IHGaussPoolLossModel>(gLM, numBuckets));</div>
<div class="line"> theBskt->setLossModel(inhomogeneousLM);</div>
<div class="line"> </div>
<div class="line"> std::cout << <span class="stringliteral">"G Inhomogeneous Expected 10-Yr Losses: "</span> << std::endl;</div>
<div class="line"> std::cout << theBskt->expectedTrancheLoss(calcDate) << std::endl;</div>
<div class="line"> </div>
<div class="line"> <span class="comment">// --- G Random model ---------------------</span></div>
<div class="line"> <span class="comment">// Gaussian random joint default model:</span></div>
<div class="line"> <span class="comment">// Size numCoresUsed = 4;</span></div>
<div class="line"> <span class="comment">// Sobol, many cores</span></div>
<div class="line"> ext::shared_ptr<DefaultLossModel> rdlmG(</div>
<div class="line"> ext::make_shared<<a name="_a12"></a><a class="code" href="class_quant_lib_1_1_random_default_l_m.html">RandomDefaultLM</a><<a name="_a13"></a><a class="code" href="struct_quant_lib_1_1_gaussian_copula_policy.html">GaussianCopulaPolicy</a>, </div>
<div class="line"> <a name="_a14"></a><a class="code" href="class_quant_lib_1_1_random_sequence_generator.html" title="Random sequence generator based on a pseudo-random number generator.">RandomSequenceGenerator</a><</div>
<div class="line"> <a name="_a15"></a><a class="code" href="class_quant_lib_1_1_box_muller_gaussian_rng.html" title="Gaussian random number generator.">BoxMullerGaussianRng<MersenneTwisterUniformRng></a> > > >(gLM, </div>
<div class="line"> recoveries, numSimulations, 1.e-6, 2863311530UL));</div>
<div class="line"> <span class="comment">//ext::shared_ptr<DefaultLossModel> rdlmG(</span></div>
<div class="line"> <span class="comment">// ext::make_shared<RandomDefaultLM<GaussianCopulaPolicy> >(gLM, </span></div>
<div class="line"> <span class="comment">// recoveries, numSimulations, 1.e-6, 2863311530));</span></div>
<div class="line"> theBskt->setLossModel(rdlmG);</div>
<div class="line"> </div>
<div class="line"> std::cout << <span class="stringliteral">"Random G Expected 10-Yr Losses: "</span> << std::endl;</div>
<div class="line"> std::cout << theBskt->expectedTrancheLoss(calcDate) << std::endl;</div>
<div class="line"><span class="preprocessor"> #endif</span></div>
<div class="line"> </div>
<div class="line"> <span class="comment">// --- StudentT Random model ---------------------</span></div>
<div class="line"> <span class="comment">// Sobol, many cores</span></div>
<div class="line"> ext::shared_ptr<DefaultLossModel> rdlmT(</div>
<div class="line"> ext::make_shared<<a class="code" href="class_quant_lib_1_1_random_default_l_m.html">RandomDefaultLM</a><<a name="_a16"></a><a class="code" href="class_quant_lib_1_1_t_copula_policy.html" title="Student-T Latent Model's copula policy.">TCopulaPolicy</a>, </div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_random_sequence_generator.html" title="Random sequence generator based on a pseudo-random number generator.">RandomSequenceGenerator</a><</div>
<div class="line"> <a name="_a17"></a><a class="code" href="class_quant_lib_1_1_polar_student_t_rng.html" title="Student t random number generator.">PolarStudentTRng<MersenneTwisterUniformRng></a> > > >(ktTLossLM, </div>
<div class="line"> recoveries, numSimulations, 1.e-6, 2863311530UL));</div>
<div class="line"> <span class="comment">//ext::shared_ptr<DefaultLossModel> rdlmT(</span></div>
<div class="line"> <span class="comment">// ext::make_shared<RandomDefaultLM<TCopulaPolicy> >(ktTLossLM, </span></div>
<div class="line"> <span class="comment">// recoveries, numSimulations, 1.e-6, 2863311530));</span></div>
<div class="line"> theBskt->setLossModel(rdlmT);</div>
<div class="line"> </div>
<div class="line"> std::cout << <span class="stringliteral">"Random T Expected 10-Yr Losses: "</span> << std::endl;</div>
<div class="line"> std::cout << theBskt->expectedTrancheLoss(calcDate) << std::endl;</div>
<div class="line"> </div>
<div class="line"> </div>
<div class="line"> <span class="comment">// Spot Loss latent model: </span></div>
<div class="line"><span class="preprocessor"> #ifndef QL_PATCH_SOLARIS</span></div>
<div class="line"> std::vector<std::vector<Real> > fctrsWeightsRR(2 * hazardRates.size(), </div>
<div class="line"> std::vector<Real>(1, std::sqrt(factorValue)));</div>
<div class="line"> <a class="code" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78" title="real number">Real</a> modelA = 2.2;</div>
<div class="line"> ext::shared_ptr<GaussianSpotLossLM> sptLG(<span class="keyword">new</span> <a name="_a18"></a><a class="code" href="class_quant_lib_1_1_spot_recovery_latent_model.html" title="Random spot recovery rate latent variable portfolio model.">GaussianSpotLossLM</a>(</div>
<div class="line"> fctrsWeightsRR, recoveries, modelA,</div>
<div class="line"> LatentModelIntegrationType::GaussianQuadrature,</div>
<div class="line"> GaussianCopulaPolicy::initTraits()));</div>
<div class="line"> ext::shared_ptr<TSpotLossLM> sptLT(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_spot_recovery_latent_model.html" title="Random spot recovery rate latent variable portfolio model.">TSpotLossLM</a>(fctrsWeightsRR, </div>
<div class="line"> recoveries, modelA,</div>
<div class="line"> LatentModelIntegrationType::GaussianQuadrature, initT));</div>
<div class="line"> </div>
<div class="line"> </div>
<div class="line"> <span class="comment">// --- G Random Loss model ---------------------</span></div>
<div class="line"> <span class="comment">// Gaussian random joint default model:</span></div>
<div class="line"> <span class="comment">// Sobol, many cores</span></div>
<div class="line"> ext::shared_ptr<DefaultLossModel> rdLlmG(</div>
<div class="line"> ext::make_shared<<a name="_a19"></a><a class="code" href="class_quant_lib_1_1_random_loss_l_m.html">RandomLossLM<GaussianCopulaPolicy></a> >(sptLG, </div>
<div class="line"> numSimulations, 1.e-6, 2863311530UL));</div>
<div class="line"> theBskt->setLossModel(rdLlmG);</div>
<div class="line"> </div>
<div class="line"> std::cout << <span class="stringliteral">"Random Loss G Expected 10-Yr Losses: "</span> << std::endl;</div>
<div class="line"> std::cout << theBskt->expectedTrancheLoss(calcDate) << std::endl;</div>
<div class="line"> </div>
<div class="line"> <span class="comment">// --- T Random Loss model ---------------------</span></div>
<div class="line"> <span class="comment">// Gaussian random joint default model:</span></div>
<div class="line"> <span class="comment">// Sobol, many cores</span></div>
<div class="line"> ext::shared_ptr<DefaultLossModel> rdLlmT(</div>
<div class="line"> ext::make_shared<<a class="code" href="class_quant_lib_1_1_random_loss_l_m.html">RandomLossLM<TCopulaPolicy></a> >(sptLT, </div>
<div class="line"> numSimulations, 1.e-6, 2863311530UL));</div>
<div class="line"> theBskt->setLossModel(rdLlmT);</div>
<div class="line"> </div>
<div class="line"> std::cout << <span class="stringliteral">"Random Loss T Expected 10-Yr Losses: "</span> << std::endl;</div>
<div class="line"> std::cout << theBskt->expectedTrancheLoss(calcDate) << std::endl;</div>
<div class="line"> </div>
<div class="line"> <span class="comment">// Base Correlation model set up to test cocherence with base LHP model</span></div>
<div class="line"> std::vector<Period> bcTenors;</div>
<div class="line"> bcTenors.push_back(<a class="code" href="class_quant_lib_1_1_period.html">Period</a>(1, Years));</div>
<div class="line"> bcTenors.push_back(<a class="code" href="class_quant_lib_1_1_period.html">Period</a>(5, Years));</div>
<div class="line"> std::vector<Real> bcLossPercentages;</div>
<div class="line"> bcLossPercentages.push_back(0.03);</div>
<div class="line"> bcLossPercentages.push_back(0.12);</div>
<div class="line"> std::vector<std::vector<Handle<Quote> > > correls;</div>
<div class="line"> <span class="comment">// </span></div>
<div class="line"> std::vector<Handle<Quote> > corr1Y;</div>
<div class="line"> <span class="comment">// 3%</span></div>
<div class="line"> corr1Y.push_back(<a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<Quote></a>(ext::shared_ptr<Quote>(</div>
<div class="line"> <span class="keyword">new</span> <a name="_a20"></a><a class="code" href="class_quant_lib_1_1_simple_quote.html" title="market element returning a stored value">SimpleQuote</a>(fctrsWeights[0][0] * fctrsWeights[0][0]))));</div>
<div class="line"> <span class="comment">// 12%</span></div>
<div class="line"> corr1Y.push_back(<a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<Quote></a>(ext::shared_ptr<Quote>(</div>
<div class="line"> <span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_simple_quote.html" title="market element returning a stored value">SimpleQuote</a>(fctrsWeights[0][0] * fctrsWeights[0][0]))));</div>
<div class="line"> correls.push_back(corr1Y);</div>
<div class="line"> std::vector<Handle<Quote> > corr2Y;</div>
<div class="line"> <span class="comment">// 3%</span></div>
<div class="line"> corr2Y.push_back(<a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<Quote></a>(ext::shared_ptr<Quote>(</div>
<div class="line"> <span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_simple_quote.html" title="market element returning a stored value">SimpleQuote</a>(fctrsWeights[0][0] * fctrsWeights[0][0]))));</div>
<div class="line"> <span class="comment">// 12%</span></div>
<div class="line"> corr2Y.push_back(<a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<Quote></a>(ext::shared_ptr<Quote>(</div>
<div class="line"> <span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_simple_quote.html" title="market element returning a stored value">SimpleQuote</a>(fctrsWeights[0][0] * fctrsWeights[0][0]))));</div>
<div class="line"> correls.push_back(corr2Y);</div>
<div class="line"> ext::shared_ptr<BaseCorrelationTermStructure<BilinearInterpolation> > </div>
<div class="line"> correlSurface(</div>
<div class="line"> <span class="keyword">new</span> <a name="_a21"></a><a class="code" href="class_quant_lib_1_1_base_correlation_term_structure.html">BaseCorrelationTermStructure<BilinearInterpolation></a>(</div>
<div class="line"> <span class="comment">// first one would do, all should be the same.</span></div>
<div class="line"> defTS[0]->settlementDays(),</div>
<div class="line"> defTS[0]->calendar(),</div>
<div class="line"> <a name="a22"></a><a class="code" href="group__datetime.html#ggaff46c5ae9385d20709bedade86edd368a5fb8b90b7fdf1a3a228fbbc083e64547">Unadjusted</a>,</div>
<div class="line"> bcTenors,</div>
<div class="line"> bcLossPercentages,</div>
<div class="line"> correls,</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_actual365_fixed.html" title="Actual/365 (Fixed) day count convention.">Actual365Fixed</a>()</div>
<div class="line"> )</div>
<div class="line"> );</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<BaseCorrelationTermStructure<BilinearInterpolation></a> > </div>
<div class="line"> correlHandle(correlSurface);</div>
<div class="line"> ext::shared_ptr<DefaultLossModel> bcLMG_LHP_Bilin(</div>
<div class="line"> ext::make_shared<GaussianLHPFlatBCLM>(correlHandle, recoveries,</div>
<div class="line"> GaussianCopulaPolicy::initTraits()));</div>
<div class="line"> </div>
<div class="line"> theBskt->setLossModel(bcLMG_LHP_Bilin);</div>
<div class="line"> </div>
<div class="line"> std::cout << <span class="stringliteral">"Base Correlation GLHP Expected 10-Yr Losses: "</span> </div>
<div class="line"> << std::endl;</div>
<div class="line"> std::cout << theBskt->expectedTrancheLoss(calcDate) << std::endl;</div>
<div class="line"><span class="preprocessor"> #endif</span></div>
<div class="line"> </div>
<div class="line"> </div>
<div class="line"> <span class="keywordflow">return</span> 0;</div>
<div class="line"> } <span class="keywordflow">catch</span> (exception& e) {</div>
<div class="line"> cerr << e.what() << endl;</div>
<div class="line"> <span class="keywordflow">return</span> 1;</div>
<div class="line"> } <span class="keywordflow">catch</span> (...) {</div>
<div class="line"> cerr << <span class="stringliteral">"unknown error"</span> << endl;</div>
<div class="line"> <span class="keywordflow">return</span> 1;</div>
<div class="line"> }</div>
<div class="line">}</div>
<div class="line"> </div>
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