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<li class="navelem"><a class="el" href="namespace_quant_lib.html">QuantLib</a></li><li class="navelem"><a class="el" href="class_quant_lib_1_1_binomial_loss_model.html">BinomialLossModel</a></li> </ul>
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<div class="title">BinomialLossModel< LLM > Class Template Reference</div> </div>
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<p><code>#include <ql/experimental/credit/binomiallossmodel.hpp></code></p>
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<img id="dynsection-0-trigger" src="closed.png" alt="+"/> Inheritance diagram for BinomialLossModel< LLM >:</div>
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<tr class="heading"><td colspan="2"><h2 class="groupheader"><a name="pub-types"></a>
Public Types</h2></td></tr>
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typedef LLM::copulaType </td><td class="memItemRight" valign="bottom"><b>copulaType</b></td></tr>
<tr class="separator:ac0464564d13436140f45c4e5c3ffea43"><td class="memSeparator" colspan="2"> </td></tr>
</table><table class="memberdecls">
<tr class="heading"><td colspan="2"><h2 class="groupheader"><a name="pub-methods"></a>
Public Member Functions</h2></td></tr>
<tr class="memitem:af93c2c3190553638c97dc36e1458e1c7"><td class="memItemLeft" align="right" valign="top"><a id="af93c2c3190553638c97dc36e1458e1c7"></a>
 </td><td class="memItemRight" valign="bottom"><b>BinomialLossModel</b> (const ext::shared_ptr< LLM > &copula)</td></tr>
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<tr class="inherit_header pub_methods_class_quant_lib_1_1_observable"><td colspan="2" onclick="javascript:toggleInherit('pub_methods_class_quant_lib_1_1_observable')"><img src="closed.png" alt="-"/> Public Member Functions inherited from <a class="el" href="class_quant_lib_1_1_observable.html">Observable</a></td></tr>
<tr class="memitem:a840dd96e33a304cbf681d357de7f48d0 inherit pub_methods_class_quant_lib_1_1_observable"><td class="memItemLeft" align="right" valign="top"><a id="a840dd96e33a304cbf681d357de7f48d0"></a>
 </td><td class="memItemRight" valign="bottom"><b>Observable</b> (const <a class="el" href="class_quant_lib_1_1_observable.html">Observable</a> &)</td></tr>
<tr class="separator:a840dd96e33a304cbf681d357de7f48d0 inherit pub_methods_class_quant_lib_1_1_observable"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a522aacdd0f2408fe5e46527a6db999b4 inherit pub_methods_class_quant_lib_1_1_observable"><td class="memItemLeft" align="right" valign="top"><a class="el" href="class_quant_lib_1_1_observable.html">Observable</a> & </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_observable.html#a522aacdd0f2408fe5e46527a6db999b4">operator=</a> (const <a class="el" href="class_quant_lib_1_1_observable.html">Observable</a> &)</td></tr>
<tr class="separator:a522aacdd0f2408fe5e46527a6db999b4 inherit pub_methods_class_quant_lib_1_1_observable"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a397546715bfc5aedd1d16dd202a19d4c inherit pub_methods_class_quant_lib_1_1_observable"><td class="memItemLeft" align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_observable.html#a397546715bfc5aedd1d16dd202a19d4c">notifyObservers</a> ()</td></tr>
<tr class="separator:a397546715bfc5aedd1d16dd202a19d4c inherit pub_methods_class_quant_lib_1_1_observable"><td class="memSeparator" colspan="2"> </td></tr>
</table><table class="memberdecls">
<tr class="heading"><td colspan="2"><h2 class="groupheader"><a name="pro-methods"></a>
Protected Member Functions</h2></td></tr>
<tr class="memitem:a1829a4fa49a05b3dd1de0d38a072c10e"><td class="memItemLeft" align="right" valign="top"><a class="el" href="class_quant_lib_1_1_disposable.html">Disposable</a>< 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_binomial_loss_model.html#a1829a4fa49a05b3dd1de0d38a072c10e">expectedDistribution</a> (const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &date) const</td></tr>
<tr class="separator:a1829a4fa49a05b3dd1de0d38a072c10e"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:aa19df0cb72e63da25978062a5c392757"><td class="memItemLeft" align="right" valign="top"><a id="aa19df0cb72e63da25978062a5c392757"></a>
<a class="el" href="class_quant_lib_1_1_disposable.html">Disposable</a>< 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_binomial_loss_model.html#aa19df0cb72e63da25978062a5c392757">lossPoints</a> (const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &) const</td></tr>
<tr class="memdesc:aa19df0cb72e63da25978062a5c392757"><td class="mdescLeft"> </td><td class="mdescRight">attainable loss points this model provides <br /></td></tr>
<tr class="separator:aa19df0cb72e63da25978062a5c392757"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a804a9068867da64ee5a7080aeb3a9294"><td class="memItemLeft" align="right" valign="top"><a id="a804a9068867da64ee5a7080aeb3a9294"></a>
<a class="el" href="class_quant_lib_1_1_disposable.html">Disposable</a>< std::map< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a>, <a class="el" href="group__types.html#gad9817a6a21dfcb91429f0152c99d6313">Probability</a> > > </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_binomial_loss_model.html#a804a9068867da64ee5a7080aeb3a9294">lossDistribution</a> (const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &d) const</td></tr>
<tr class="memdesc:a804a9068867da64ee5a7080aeb3a9294"><td class="mdescLeft"> </td><td class="mdescRight">Returns the cumulative full loss distribution. <br /></td></tr>
<tr class="separator:a804a9068867da64ee5a7080aeb3a9294"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:aec23ffcd07d5909b2f25205a43345c2a"><td class="memItemLeft" align="right" valign="top"><a id="aec23ffcd07d5909b2f25205a43345c2a"></a>
<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_binomial_loss_model.html#aec23ffcd07d5909b2f25205a43345c2a">percentile</a> (const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &d, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> percentile) const</td></tr>
<tr class="memdesc:aec23ffcd07d5909b2f25205a43345c2a"><td class="mdescLeft"> </td><td class="mdescRight">Loss level for this percentile. <br /></td></tr>
<tr class="separator:aec23ffcd07d5909b2f25205a43345c2a"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:ab116c30c7a559a6452c709a6f1201abf"><td class="memItemLeft" align="right" valign="top"><a id="ab116c30c7a559a6452c709a6f1201abf"></a>
<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_binomial_loss_model.html#ab116c30c7a559a6452c709a6f1201abf">expectedShortfall</a> (const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &d, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> <a class="el" href="class_quant_lib_1_1_binomial_loss_model.html#aec23ffcd07d5909b2f25205a43345c2a">percentile</a>) const</td></tr>
<tr class="memdesc:ab116c30c7a559a6452c709a6f1201abf"><td class="mdescLeft"> </td><td class="mdescRight">Expected shortfall given a default loss percentile. <br /></td></tr>
<tr class="separator:ab116c30c7a559a6452c709a6f1201abf"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:ab39687a9a4ba5a0daae12c443d7f8ee6"><td class="memItemLeft" align="right" valign="top"><a id="ab39687a9a4ba5a0daae12c443d7f8ee6"></a>
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>expectedTrancheLoss</b> (const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &d) const</td></tr>
<tr class="separator:ab39687a9a4ba5a0daae12c443d7f8ee6"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a8639f1998edbaa47532ba59d0e33c330"><td class="memItemLeft" align="right" valign="top"><a id="a8639f1998edbaa47532ba59d0e33c330"></a>
<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_binomial_loss_model.html#a8639f1998edbaa47532ba59d0e33c330">averageLoss</a> (const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &, const std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > &reminingNots, const std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > &) const</td></tr>
<tr class="memdesc:a8639f1998edbaa47532ba59d0e33c330"><td class="mdescLeft"> </td><td class="mdescRight"><a class="el" href="struct_quant_lib_1_1_average.html" title="Placeholder for enumerated averaging types.">Average</a> loss per credit. <br /></td></tr>
<tr class="separator:a8639f1998edbaa47532ba59d0e33c330"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:afe44dd9ff970cfe4935146621bb5514e"><td class="memItemLeft" align="right" valign="top"><a id="afe44dd9ff970cfe4935146621bb5514e"></a>
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>condTrancheLoss</b> (const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &, const std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > &lossVals, const std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > &bsktNots, const std::vector< <a class="el" href="group__types.html#gad9817a6a21dfcb91429f0152c99d6313">Probability</a> > &uncondDefProbs, const std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > &) const</td></tr>
<tr class="separator:afe44dd9ff970cfe4935146621bb5514e"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a30e3b5819312fed9fe1b6bbebd830d33"><td class="memItemLeft" align="right" valign="top"><a id="a30e3b5819312fed9fe1b6bbebd830d33"></a>
<a class="el" href="class_quant_lib_1_1_disposable.html">Disposable</a>< std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > > </td><td class="memItemRight" valign="bottom"><b>expConditionalLgd</b> (const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &d, const std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > &mktFactors) const</td></tr>
<tr class="separator:a30e3b5819312fed9fe1b6bbebd830d33"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:af077fe53814c6d23a665cf7f75407d92"><td class="memItemLeft" align="right" valign="top"><a id="af077fe53814c6d23a665cf7f75407d92"></a>
<a class="el" href="class_quant_lib_1_1_disposable.html">Disposable</a>< 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_binomial_loss_model.html#af077fe53814c6d23a665cf7f75407d92">lossProbability</a> (const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &date, const std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > &bsktNots, const std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > &uncondDefProbInv, const std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > &mktFactor) const</td></tr>
<tr class="memdesc:af077fe53814c6d23a665cf7f75407d92"><td class="mdescLeft"> </td><td class="mdescRight">Loss probability density conditional on the market factor value. <br /></td></tr>
<tr class="separator:af077fe53814c6d23a665cf7f75407d92"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="inherit_header pro_methods_class_quant_lib_1_1_default_loss_model"><td colspan="2" onclick="javascript:toggleInherit('pro_methods_class_quant_lib_1_1_default_loss_model')"><img src="closed.png" alt="-"/> Protected Member Functions inherited from <a class="el" href="class_quant_lib_1_1_default_loss_model.html">DefaultLossModel</a></td></tr>
<tr class="memitem:a1fcdbcad5b5c46da60b14ce39122774f inherit pro_methods_class_quant_lib_1_1_default_loss_model"><td class="memItemLeft" align="right" valign="top">virtual <a class="el" href="group__types.html#gad9817a6a21dfcb91429f0152c99d6313">Probability</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_default_loss_model.html#a1fcdbcad5b5c46da60b14ce39122774f">probOverLoss</a> (const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &d, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> lossFraction) const</td></tr>
<tr class="separator:a1fcdbcad5b5c46da60b14ce39122774f inherit pro_methods_class_quant_lib_1_1_default_loss_model"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a508c8a0f27bae4596a400bc49dacb18f inherit pro_methods_class_quant_lib_1_1_default_loss_model"><td class="memItemLeft" align="right" valign="top"><a id="a508c8a0f27bae4596a400bc49dacb18f"></a>
virtual <a class="el" href="class_quant_lib_1_1_disposable.html">Disposable</a>< 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_default_loss_model.html#a508c8a0f27bae4596a400bc49dacb18f">splitVaRLevel</a> (const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &d, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> loss) const</td></tr>
<tr class="memdesc:a508c8a0f27bae4596a400bc49dacb18f inherit pro_methods_class_quant_lib_1_1_default_loss_model"><td class="mdescLeft"> </td><td class="mdescRight">Associated VaR fraction to each counterparty. <br /></td></tr>
<tr class="separator:a508c8a0f27bae4596a400bc49dacb18f inherit pro_methods_class_quant_lib_1_1_default_loss_model"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a4bc8439ac6ee1b586c13b155aec854ca inherit pro_methods_class_quant_lib_1_1_default_loss_model"><td class="memItemLeft" align="right" valign="top"><a id="a4bc8439ac6ee1b586c13b155aec854ca"></a>
virtual <a class="el" href="class_quant_lib_1_1_disposable.html">Disposable</a>< 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_default_loss_model.html#a4bc8439ac6ee1b586c13b155aec854ca">splitESFLevel</a> (const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &d, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> loss) const</td></tr>
<tr class="memdesc:a4bc8439ac6ee1b586c13b155aec854ca inherit pro_methods_class_quant_lib_1_1_default_loss_model"><td class="mdescLeft"> </td><td class="mdescRight">Associated ESF fraction to each counterparty. <br /></td></tr>
<tr class="separator:a4bc8439ac6ee1b586c13b155aec854ca inherit pro_methods_class_quant_lib_1_1_default_loss_model"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:abe2bdfc1ec60b66231f6f548ce090206 inherit pro_methods_class_quant_lib_1_1_default_loss_model"><td class="memItemLeft" align="right" valign="top"><a id="abe2bdfc1ec60b66231f6f548ce090206"></a>
virtual <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_default_loss_model.html#abe2bdfc1ec60b66231f6f548ce090206">densityTrancheLoss</a> (const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &d, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> lossFraction) const</td></tr>
<tr class="memdesc:abe2bdfc1ec60b66231f6f548ce090206 inherit pro_methods_class_quant_lib_1_1_default_loss_model"><td class="mdescLeft"> </td><td class="mdescRight">Probability density of a given loss fraction of the basket notional. <br /></td></tr>
<tr class="separator:abe2bdfc1ec60b66231f6f548ce090206 inherit pro_methods_class_quant_lib_1_1_default_loss_model"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a5654a8f873835331fd216c9102ff24de inherit pro_methods_class_quant_lib_1_1_default_loss_model"><td class="memItemLeft" align="right" valign="top">virtual <a class="el" href="class_quant_lib_1_1_disposable.html">Disposable</a>< std::vector< <a class="el" href="group__types.html#gad9817a6a21dfcb91429f0152c99d6313">Probability</a> > > </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_default_loss_model.html#a5654a8f873835331fd216c9102ff24de">probsBeingNthEvent</a> (<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> n, const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &d) const</td></tr>
<tr class="separator:a5654a8f873835331fd216c9102ff24de inherit pro_methods_class_quant_lib_1_1_default_loss_model"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a0bdf74219aced9c21262e8b0c0dbe306 inherit pro_methods_class_quant_lib_1_1_default_loss_model"><td class="memItemLeft" align="right" valign="top"><a id="a0bdf74219aced9c21262e8b0c0dbe306"></a>
virtual <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_default_loss_model.html#a0bdf74219aced9c21262e8b0c0dbe306">defaultCorrelation</a> (const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &d, <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> iName, <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> jName) const</td></tr>
<tr class="memdesc:a0bdf74219aced9c21262e8b0c0dbe306 inherit pro_methods_class_quant_lib_1_1_default_loss_model"><td class="mdescLeft"> </td><td class="mdescRight">Pearsons' default probability correlation. <br /></td></tr>
<tr class="separator:a0bdf74219aced9c21262e8b0c0dbe306 inherit pro_methods_class_quant_lib_1_1_default_loss_model"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:adc0cf14e9e70a964322a127b4916ea7f inherit pro_methods_class_quant_lib_1_1_default_loss_model"><td class="memItemLeft" align="right" valign="top">virtual <a class="el" href="group__types.html#gad9817a6a21dfcb91429f0152c99d6313">Probability</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_default_loss_model.html#adc0cf14e9e70a964322a127b4916ea7f">probAtLeastNEvents</a> (<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> n, const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &d) const</td></tr>
<tr class="separator:adc0cf14e9e70a964322a127b4916ea7f inherit pro_methods_class_quant_lib_1_1_default_loss_model"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a9a424b4c46a2d345a8b92184ac7ebbf3 inherit pro_methods_class_quant_lib_1_1_default_loss_model"><td class="memItemLeft" align="right" valign="top">virtual <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_default_loss_model.html#a9a424b4c46a2d345a8b92184ac7ebbf3">expectedRecovery</a> (const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &, <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> iName, const <a class="el" href="class_quant_lib_1_1_default_prob_key.html">DefaultProbKey</a> &) const</td></tr>
<tr class="separator:a9a424b4c46a2d345a8b92184ac7ebbf3 inherit pro_methods_class_quant_lib_1_1_default_loss_model"><td class="memSeparator" colspan="2"> </td></tr>
</table><table class="memberdecls">
<tr class="heading"><td colspan="2"><h2 class="groupheader"><a name="pro-attribs"></a>
Protected Attributes</h2></td></tr>
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const ext::shared_ptr< LLM > </td><td class="memItemRight" valign="bottom"><b>copula_</b></td></tr>
<tr class="separator:ab4cb6b806010c49da071d62d91269621"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a186609fd6866ba216fb92b12e3b7baf9"><td class="memItemLeft" align="right" valign="top"><a id="a186609fd6866ba216fb92b12e3b7baf9"></a>
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>attachAmount_</b></td></tr>
<tr class="separator:a186609fd6866ba216fb92b12e3b7baf9"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a8207f7a451eff0bbb4afeefc722e8c1c"><td class="memItemLeft" align="right" valign="top"><a id="a8207f7a451eff0bbb4afeefc722e8c1c"></a>
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>detachAmount_</b></td></tr>
<tr class="separator:a8207f7a451eff0bbb4afeefc722e8c1c"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="inherit_header pro_attribs_class_quant_lib_1_1_default_loss_model"><td colspan="2" onclick="javascript:toggleInherit('pro_attribs_class_quant_lib_1_1_default_loss_model')"><img src="closed.png" alt="-"/> Protected Attributes inherited from <a class="el" href="class_quant_lib_1_1_default_loss_model.html">DefaultLossModel</a></td></tr>
<tr class="memitem:a884258ab218f44b22e56d47cf9c7ca16 inherit pro_attribs_class_quant_lib_1_1_default_loss_model"><td class="memItemLeft" align="right" valign="top"><a id="a884258ab218f44b22e56d47cf9c7ca16"></a>
<a class="el" href="class_quant_lib_1_1_relinkable_handle.html">RelinkableHandle</a>< <a class="el" href="class_quant_lib_1_1_basket.html">Basket</a> > </td><td class="memItemRight" valign="bottom"><b>basket_</b></td></tr>
<tr class="separator:a884258ab218f44b22e56d47cf9c7ca16 inherit pro_attribs_class_quant_lib_1_1_default_loss_model"><td class="memSeparator" colspan="2"> </td></tr>
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<a name="details" id="details"></a><h2 class="groupheader">Detailed Description</h2>
<div class="textblock"><h3>template<class LLM><br />
class QuantLib::BinomialLossModel< LLM ></h3>
<p>Binomial Defaultable <a class="el" href="class_quant_lib_1_1_basket.html">Basket</a> Loss Model</p><dl class="section user"><dt></dt><dd>Models the portfolio loss distribution by approximatting it to an adjusted binomial. Fits the two moments of the loss distribution through an adapted binomial approximation. This simple model allows for portfolio inhomogeneity with no excesive cost over the LHP.</dd></dl>
<dl class="section user"><dt></dt><dd>See:</dd></dl>
<dl class="section user"><dt></dt><dd><b>Approximating Independent Loss Distributions with an Adjusted Binomial Distribution</b> , Dominic O'Kane, 2007 EDHEC RISK AND ASSET MANAGEMENT RESEARCH CENTRE </dd></dl>
<dl class="section user"><dt></dt><dd><b>Modelling single name and multi-name credit derivatives</b> Chapter 18.5.2, Dominic O'Kane, Wiley Finance, 2008 </dd></dl>
<dl class="section user"><dt></dt><dd>The version presented here is adaptated to the multifactorial case by computing a conditional binomial approximation; notice that the Binomial is stable. This way the model can be used also in risk management models rather than only in pricing. The copula is also left undefined/arbitrary. </dd></dl>
<dl class="section user"><dt></dt><dd>LLM: Loss Latent Model template parameter able to model default and loss.</dd></dl>
<dl class="section user"><dt></dt><dd>The model is allowed and arbitrary copula, although initially designed for a Gaussian setup. If these exotic versions were not allowed the template parameter can then be dropped but the use of random recoveries should be added in some other way.</dd></dl>
</div><h2 class="groupheader">Member Function Documentation</h2>
<a id="a1829a4fa49a05b3dd1de0d38a072c10e"></a>
<h2 class="memtitle"><span class="permalink"><a href="#a1829a4fa49a05b3dd1de0d38a072c10e">◆ </a></span>expectedDistribution()</h2>
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<td class="memname"><a class="el" href="class_quant_lib_1_1_disposable.html">Disposable</a><std::vector<<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a>> > expectedDistribution </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>date</em></td><td>)</td>
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<p>Returns the probability of the default loss values given by the method lossPoints. </p>
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