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<div class="title">LatentModel.cpp</div> </div>
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<div class="contents">
<p>This example shows the calculation of correlated defaults.</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/randomdefaultlatentmodel.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/currencies/europe.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/time/daycounters/actual365fixed.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"> </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"> </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"> </div>
<div class="line"> ThreadKey sessionId() { <span class="keywordflow">return</span> 0; }</div>
<div class="line"> </div>
<div class="line">}</div>
<div class="line"><span class="preprocessor">#endif</span></div>
<div class="line"> </div>
<div class="line"> </div>
<div class="line"><span class="comment">/* This sample code shows basic usage of a Latent variable model.</span></div>
<div class="line"><span class="comment"> The data and correlation problem presented is the same as in:</span></div>
<div class="line"><span class="comment"> 'Modelling Dependent Defaults: Asset Correlations Are Not Enough!'</span></div>
<div class="line"><span class="comment"> Frey R., A. J. McNeil and M. A. Nyfeler RiskLab publications March 2001</span></div>
<div class="line"><span class="comment">*/</span></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 three names</span></div>
<div class="line"> std::vector<Real> hazardRates(3, -std::log(1.-0.01));</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"> 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"> <span class="comment">// Recoveries are irrelevant in this example but must be given as the </span></div>
<div class="line"> <span class="comment">// lib stands.</span></div>
<div class="line"> std::vector<ext::shared_ptr<RecoveryRateModel> > rrModels(</div>
<div class="line"> hazardRates.size(), ext::make_shared<ConstantRecoveryModel>(</div>
<div class="line"> <a name="_a9"></a><a class="code" href="class_quant_lib_1_1_constant_recovery_model.html">ConstantRecoveryModel</a>(0.5, SeniorSec)));</div>
<div class="line"> ext::shared_ptr<Basket> theBskt = ext::make_shared<Basket>(</div>
<div class="line"> todaysDate, names, std::vector<Real>(hazardRates.size(), 100.), </div>
<div class="line"> thePool);</div>
<div class="line"> <span class="comment">/* --------------------------------------------------------------</span></div>
<div class="line"><span class="comment"> SET UP JOINT DEFAULT EVENT LATENT MODELS</span></div>
<div class="line"><span class="comment"> -------------------------------------------------------------- */</span></div>
<div class="line"> <span class="comment">// Latent model factors, corresponds to the first entry in Table1 of the</span></div>
<div class="line"> <span class="comment">// publication mentioned. It is a single factor model</span></div>
<div class="line"> std::vector<std::vector<Real> > fctrsWeights(hazardRates.size(), </div>
<div class="line"> std::vector<Real>(1, std::sqrt(0.1)));</div>
<div class="line"> <span class="comment">// --- Default Latent models -------------------------------------</span></div>
<div class="line"><span class="preprocessor"> #ifndef QL_PATCH_SOLARIS</span></div>
<div class="line"> <span class="comment">// Gaussian integrable joint default model:</span></div>
<div class="line"> ext::shared_ptr<GaussianDefProbLM> lmG(<span class="keyword">new</span> </div>
<div class="line"> <a name="_a10"></a><a class="code" href="class_quant_lib_1_1_default_latent_model.html" title="Default event Latent Model.">GaussianDefProbLM</a>(fctrsWeights, </div>
<div class="line"> LatentModelIntegrationType::GaussianQuadrature,</div>
<div class="line"> GaussianCopulaPolicy::initTraits() <span class="comment">// otherwise gcc screams</span></div>
<div class="line"> ));</div>
<div class="line"><span class="preprocessor"> #endif</span></div>
<div class="line"> <span class="comment">// Define StudentT copula</span></div>
<div class="line"> <span class="comment">// this is as far as we can be from the Gaussian, 2 T_3 factors:</span></div>
<div class="line"> std::vector<Integer> ordersT(2, 3);</div>
<div class="line"> <a name="_a11"></a><a class="code" href="struct_quant_lib_1_1_t_copula_policy_1_1init_traits.html">TCopulaPolicy::initTraits</a> iniT;</div>
<div class="line"> iniT.<a name="a12"></a>tOrders = ordersT;</div>
<div class="line"> <span class="comment">// StudentT integrable joint default model:</span></div>
<div class="line"> ext::shared_ptr<TDefProbLM> lmT(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_default_latent_model.html" title="Default event Latent Model.">TDefProbLM</a>(fctrsWeights, </div>
<div class="line"> <span class="comment">// LatentModelIntegrationType::GaussianQuadrature,</span></div>
<div class="line"> LatentModelIntegrationType::Trapezoid,</div>
<div class="line"> iniT));</div>
<div class="line"> </div>
<div class="line"> <span class="comment">// --- Default Loss models ----------------------------------------</span></div>
<div class="line"> <span class="comment">// Gaussian random joint default 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="comment">// Size numCoresUsed = 4;</span></div>
<div class="line"><span class="preprocessor"> #ifndef QL_PATCH_SOLARIS</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="_a13"></a><a class="code" href="class_quant_lib_1_1_random_default_l_m.html">RandomDefaultLM<GaussianCopulaPolicy></a> >(lmG, </div>
<div class="line"> std::vector<Real>(), numSimulations, 1.e-6, 2863311530UL));</div>
<div class="line"><span class="preprocessor"> #endif</span></div>
<div class="line"> <span class="comment">// StudentT random joint default model:</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<TCopulaPolicy></a> >(lmT, </div>
<div class="line"> std::vector<Real>(), numSimulations, 1.e-6, 2863311530UL));</div>
<div class="line"> </div>
<div class="line"> <span class="comment">/* --------------------------------------------------------------</span></div>
<div class="line"><span class="comment"> DUMP SOME RESULTS</span></div>
<div class="line"><span class="comment"> -------------------------------------------------------------- */</span></div>
<div class="line"> <span class="comment">/* Default correlations in a T copula should be below those of the </span></div>
<div class="line"><span class="comment"> gaussian for the same factors.</span></div>
<div class="line"><span class="comment"> The calculations on the MC show dispersion on both copulas (thats</span></div>
<div class="line"><span class="comment"> ok) and too large values with very large dispersions on the T case.</span></div>
<div class="line"><span class="comment"> Computations are ok, within the dispersion, for the gaussian; compare</span></div>
<div class="line"><span class="comment"> with the direct integration in both cases.</span></div>
<div class="line"><span class="comment"> However the T does converge to the gaussian value for large value of</span></div>
<div class="line"><span class="comment"> the parameters.</span></div>
<div class="line"><span class="comment"> */</span></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>(120, Months)));</div>
<div class="line"> std::vector<Probability> probEventsTLatent, probEventsTRandLoss;</div>
<div class="line"><span class="preprocessor"> #ifndef QL_PATCH_SOLARIS</span></div>
<div class="line"> std::vector<Probability> probEventsGLatent, probEventsGRandLoss;</div>
<div class="line"><span class="preprocessor"> #endif</span></div>
<div class="line"> <span class="comment">//</span></div>
<div class="line"> lmT->resetBasket(theBskt);</div>
<div class="line"> <span class="keywordflow">for</span>(<a class="code" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> numEvts=0; numEvts <=theBskt->size(); numEvts++) {</div>
<div class="line"> probEventsTLatent.push_back(lmT->probAtLeastNEvents(numEvts, </div>
<div class="line"> calcDate));</div>
<div class="line"> }</div>
<div class="line"> <span class="comment">//</span></div>
<div class="line"> theBskt->setLossModel(rdlmT);</div>
<div class="line"> <span class="keywordflow">for</span>(<a class="code" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> numEvts=0; numEvts <=theBskt->size(); numEvts++) {</div>
<div class="line"> probEventsTRandLoss.push_back(theBskt->probAtLeastNEvents(numEvts, </div>
<div class="line"> calcDate));</div>
<div class="line"> }</div>
<div class="line"> <span class="comment">//</span></div>
<div class="line"><span class="preprocessor"> #ifndef QL_PATCH_SOLARIS</span></div>
<div class="line"> lmG->resetBasket(theBskt);</div>
<div class="line"> <span class="keywordflow">for</span>(<a class="code" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> numEvts=0; numEvts <=theBskt->size(); numEvts++) {</div>
<div class="line"> probEventsGLatent.push_back(lmG->probAtLeastNEvents(numEvts, </div>
<div class="line"> calcDate));</div>
<div class="line"> }</div>
<div class="line"> <span class="comment">//</span></div>
<div class="line"> theBskt->setLossModel(rdlmG);</div>
<div class="line"> <span class="keywordflow">for</span>(<a class="code" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> numEvts=0; numEvts <=theBskt->size(); numEvts++) {</div>
<div class="line"> probEventsGRandLoss.push_back(theBskt->probAtLeastNEvents(numEvts, </div>
<div class="line"> calcDate));</div>
<div class="line"> }</div>
<div class="line"><span class="preprocessor"> #endif</span></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> correlDate = <a class="code" href="class_quant_lib_1_1_t_a_r_g_e_t.html" title="TARGET calendar">TARGET</a>().<a name="a14"></a><a class="code" href="class_quant_lib_1_1_calendar.html#ab3fc4d2c4ba5243c3f5d51dcb3077ceb">advance</a>(</div>
<div class="line"> Settings::instance().evaluationDate(), <a class="code" href="class_quant_lib_1_1_period.html">Period</a>(12, Months));</div>
<div class="line"> std::vector<std::vector<Real> > correlsGlm, correlsTlm, correlsGrand, </div>
<div class="line"> correlsTrand;</div>
<div class="line"> <span class="comment">//</span></div>
<div class="line"> lmT->resetBasket(theBskt);</div>
<div class="line"> <span class="keywordflow">for</span>(<a class="code" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> iName1=0; iName1 <theBskt->size(); iName1++) {</div>
<div class="line"> std::vector<Real> tmp;</div>
<div class="line"> <span class="keywordflow">for</span>(<a class="code" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> iName2=0; iName2 <theBskt->size(); iName2++)</div>
<div class="line"> tmp.push_back(lmT->defaultCorrelation(correlDate, </div>
<div class="line"> iName1, iName2));</div>
<div class="line"> correlsTlm.push_back(tmp);</div>
<div class="line"> }</div>
<div class="line"> <span class="comment">//</span></div>
<div class="line"> theBskt->setLossModel(rdlmT);</div>
<div class="line"> <span class="keywordflow">for</span>(<a class="code" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> iName1=0; iName1 <theBskt->size(); iName1++) {</div>
<div class="line"> std::vector<Real> tmp;</div>
<div class="line"> <span class="keywordflow">for</span>(<a class="code" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> iName2=0; iName2 <theBskt->size(); iName2++)</div>
<div class="line"> tmp.push_back(theBskt->defaultCorrelation(correlDate, </div>
<div class="line"> iName1, iName2));</div>
<div class="line"> correlsTrand.push_back(tmp);</div>
<div class="line"> }</div>
<div class="line"><span class="preprocessor"> #ifndef QL_PATCH_SOLARIS</span></div>
<div class="line"> <span class="comment">//</span></div>
<div class="line"> lmG->resetBasket(theBskt);</div>
<div class="line"> <span class="keywordflow">for</span>(<a class="code" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> iName1=0; iName1 <theBskt->size(); iName1++) {</div>
<div class="line"> std::vector<Real> tmp;</div>
<div class="line"> <span class="keywordflow">for</span>(<a class="code" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> iName2=0; iName2 <theBskt->size(); iName2++)</div>
<div class="line"> tmp.push_back(lmG->defaultCorrelation(correlDate, </div>
<div class="line"> iName1, iName2));</div>
<div class="line"> correlsGlm.push_back(tmp);</div>
<div class="line"> }</div>
<div class="line"> <span class="comment">//</span></div>
<div class="line"> theBskt->setLossModel(rdlmG);</div>
<div class="line"> <span class="keywordflow">for</span>(<a class="code" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> iName1=0; iName1 <theBskt->size(); iName1++) {</div>
<div class="line"> std::vector<Real> tmp;</div>
<div class="line"> <span class="keywordflow">for</span>(<a class="code" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> iName2=0; iName2 <theBskt->size(); iName2++)</div>
<div class="line"> tmp.push_back(theBskt->defaultCorrelation(correlDate, </div>
<div class="line"> iName1, iName2));</div>
<div class="line"> correlsGrand.push_back(tmp);</div>
<div class="line"> }</div>
<div class="line"><span class="preprocessor"> #endif</span></div>
<div class="line"> </div>
<div class="line"> </div>
<div class="line"> std::cout << </div>
<div class="line"> <span class="stringliteral">" Gaussian versus T prob of extreme event (random and integrable)-"</span> </div>
<div class="line"> << std::endl;</div>
<div class="line"> <span class="keywordflow">for</span>(<a class="code" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> numEvts=0; numEvts <=theBskt->size(); numEvts++) {</div>
<div class="line"> std::cout << <span class="stringliteral">"-Prob of "</span> << numEvts << <span class="stringliteral">" events... "</span> <<</div>
<div class="line"><span class="preprocessor"> #ifndef QL_PATCH_SOLARIS</span></div>
<div class="line"> probEventsGLatent[numEvts] << <span class="stringliteral">" ** "</span> <<</div>
<div class="line"><span class="preprocessor"> #else</span></div>
<div class="line"> <span class="stringliteral">"n/a"</span> << <span class="stringliteral">" ** "</span> <<</div>
<div class="line"><span class="preprocessor"> #endif</span></div>
<div class="line"> probEventsTLatent[numEvts] << <span class="stringliteral">" ** "</span> << </div>
<div class="line"><span class="preprocessor"> #ifndef QL_PATCH_SOLARIS</span></div>
<div class="line"> probEventsGRandLoss[numEvts]<< <span class="stringliteral">" ** "</span> <<</div>
<div class="line"><span class="preprocessor"> #else</span></div>
<div class="line"> <span class="stringliteral">"n/a"</span> << <span class="stringliteral">" ** "</span> <<</div>
<div class="line"><span class="preprocessor"> #endif</span></div>
<div class="line"> probEventsTRandLoss[numEvts] </div>
<div class="line"> << std::endl;</div>
<div class="line"> }</div>
<div class="line"> </div>
<div class="line"> cout << endl;</div>
<div class="line"> cout << <span class="stringliteral">"-- Default correlations G,T,GRand,TRand--"</span> << endl;</div>
<div class="line"> cout << <span class="stringliteral">"-----------------------------------------"</span> << endl;</div>
<div class="line"> <span class="keywordflow">for</span>(<a class="code" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> iName1=0; iName1 <theBskt->size(); iName1++) {</div>
<div class="line"> <span class="keywordflow">for</span>(<a class="code" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> iName2=0; iName2 <theBskt->size(); iName2++)</div>
<div class="line"> cout << </div>
<div class="line"> #ifndef QL_PATCH_SOLARIS</div>
<div class="line"> correlsGlm[iName1][iName2] << <span class="stringliteral">" , "</span>;</div>
<div class="line"><span class="preprocessor"> #else</span></div>
<div class="line"> <span class="stringliteral">"n/a"</span> << <span class="stringliteral">" , "</span>;</div>
<div class="line"><span class="preprocessor"> #endif</span></div>
<div class="line"> cout << endl;</div>
<div class="line"> }</div>
<div class="line"> cout << endl;</div>
<div class="line"> <span class="keywordflow">for</span>(<a class="code" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> iName1=0; iName1 <theBskt->size(); iName1++) {</div>
<div class="line"> <span class="keywordflow">for</span>(<a class="code" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> iName2=0; iName2 <theBskt->size(); iName2++)</div>
<div class="line"> cout << </div>
<div class="line"> correlsTlm[iName1][iName2] << <span class="stringliteral">" , "</span>;</div>
<div class="line"> ;</div>
<div class="line"> cout << endl;</div>
<div class="line"> }</div>
<div class="line"> cout << endl;</div>
<div class="line"> <span class="keywordflow">for</span>(<a class="code" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> iName1=0; iName1 <theBskt->size(); iName1++) {</div>
<div class="line"> <span class="keywordflow">for</span>(<a class="code" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> iName2=0; iName2 <theBskt->size(); iName2++)</div>
<div class="line"> cout << </div>
<div class="line"> #ifndef QL_PATCH_SOLARIS</div>
<div class="line"> correlsGrand[iName1][iName2] << <span class="stringliteral">" , "</span>;</div>
<div class="line"><span class="preprocessor"> #else</span></div>
<div class="line"> <span class="stringliteral">"n/a"</span> << <span class="stringliteral">" , "</span>;</div>
<div class="line"><span class="preprocessor"> #endif</span></div>
<div class="line"> cout << endl;</div>
<div class="line"> }</div>
<div class="line"> cout << endl;</div>
<div class="line"> <span class="keywordflow">for</span>(<a class="code" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> iName1=0; iName1 <theBskt->size(); iName1++) {</div>
<div class="line"> <span class="keywordflow">for</span>(<a class="code" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> iName2=0; iName2 <theBskt->size(); iName2++)</div>
<div class="line"> cout << </div>
<div class="line"> correlsTrand[iName1][iName2] << <span class="stringliteral">" , "</span>;</div>
<div class="line"> ;</div>
<div class="line"> cout << endl;</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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