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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_default_loss_model.html">DefaultLossModel</a></li> </ul>
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<div class="title">DefaultLossModel Class Reference<span class="mlabels"><span class="mlabel">abstract</span></span></div> </div>
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<p><code>#include <ql/experimental/credit/defaultlossmodel.hpp></code></p>
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Protected Attributes</h2></td></tr>
<tr class="memitem:a884258ab218f44b22e56d47cf9c7ca16"><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>
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</table><table class="memberdecls">
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Friends</h2></td></tr>
<tr class="memitem:a553c0b0a31e8ddf782ad25f81bbcb355"><td class="memItemLeft" align="right" valign="top"><a id="a553c0b0a31e8ddf782ad25f81bbcb355"></a>
class </td><td class="memItemRight" valign="bottom"><b>Basket</b></td></tr>
<tr class="separator:a553c0b0a31e8ddf782ad25f81bbcb355"><td class="memSeparator" colspan="2"> </td></tr>
</table><table class="memberdecls">
<tr class="heading"><td colspan="2"><h2 class="groupheader"><a name="member-group"></a>
Statistics</h2></td></tr>
<tr class="memitem:a4a13a448c6d75377f2a8c7ec3f6bf2bf"><td class="memItemLeft" align="right" valign="top"><a id="a4a13a448c6d75377f2a8c7ec3f6bf2bf"></a>
virtual <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:a4a13a448c6d75377f2a8c7ec3f6bf2bf"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a1fcdbcad5b5c46da60b14ce39122774f"><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"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a9dbb5964035a7434b2e4edc638430577"><td class="memItemLeft" align="right" valign="top"><a id="a9dbb5964035a7434b2e4edc638430577"></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#a9dbb5964035a7434b2e4edc638430577">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:a9dbb5964035a7434b2e4edc638430577"><td class="mdescLeft"> </td><td class="mdescRight">Value at Risk given a default loss percentile. <br /></td></tr>
<tr class="separator:a9dbb5964035a7434b2e4edc638430577"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a689cec5c18b5e5f144dab4fc5cd1280c"><td class="memItemLeft" align="right" valign="top"><a id="a689cec5c18b5e5f144dab4fc5cd1280c"></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#a689cec5c18b5e5f144dab4fc5cd1280c">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_default_loss_model.html#a9dbb5964035a7434b2e4edc638430577">percentile</a>) const</td></tr>
<tr class="memdesc:a689cec5c18b5e5f144dab4fc5cd1280c"><td class="mdescLeft"> </td><td class="mdescRight">Expected shortfall given a default loss percentile. <br /></td></tr>
<tr class="separator:a689cec5c18b5e5f144dab4fc5cd1280c"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a508c8a0f27bae4596a400bc49dacb18f"><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"><td class="mdescLeft"> </td><td class="mdescRight">Associated VaR fraction to each counterparty. <br /></td></tr>
<tr class="separator:a508c8a0f27bae4596a400bc49dacb18f"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a4bc8439ac6ee1b586c13b155aec854ca"><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"><td class="mdescLeft"> </td><td class="mdescRight">Associated ESF fraction to each counterparty. <br /></td></tr>
<tr class="separator:a4bc8439ac6ee1b586c13b155aec854ca"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a408906c996ac91cc92d64aa78bb9c8fe"><td class="memItemLeft" align="right" valign="top"><a id="a408906c996ac91cc92d64aa78bb9c8fe"></a>
virtual <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_default_loss_model.html#a408906c996ac91cc92d64aa78bb9c8fe">lossDistribution</a> (const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &) const</td></tr>
<tr class="memdesc:a408906c996ac91cc92d64aa78bb9c8fe"><td class="mdescLeft"> </td><td class="mdescRight">Full loss distribution. <br /></td></tr>
<tr class="separator:a408906c996ac91cc92d64aa78bb9c8fe"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:abe2bdfc1ec60b66231f6f548ce090206"><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"><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"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a5654a8f873835331fd216c9102ff24de"><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"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a0bdf74219aced9c21262e8b0c0dbe306"><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"><td class="mdescLeft"> </td><td class="mdescRight">Pearsons' default probability correlation. <br /></td></tr>
<tr class="separator:a0bdf74219aced9c21262e8b0c0dbe306"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:adc0cf14e9e70a964322a127b4916ea7f"><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"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a9a424b4c46a2d345a8b92184ac7ebbf3"><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"><td class="memSeparator" colspan="2"> </td></tr>
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<tr class="heading"><td colspan="2"><h2 class="groupheader"><a name="inherited"></a>
Additional Inherited Members</h2></td></tr>
<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>
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 </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>
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<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>
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<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>
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<a name="details" id="details"></a><h2 class="groupheader">Detailed Description</h2>
<div class="textblock"><p>Default loss model interface definition. Allows communication between the basket and specific algorithms. Intended to hold any kind of portfolio joint loss, latent models, top-down,....</p>
<p>An inconvenience of this design as opposed to the full arguments/results is that when pricing several derivatives instruments on the same basket not all the pricing engines would point to the same loss model; thus when pricing a set of such instruments there might be some switching on the basket loss models, which might require recalculations (of the basket) or not depending on the pricing order. </p>
</div><h2 class="groupheader">Member Function Documentation</h2>
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<h2 class="memtitle"><span class="permalink"><a href="#a1fcdbcad5b5c46da60b14ce39122774f">◆ </a></span>probOverLoss()</h2>
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<td class="memname">virtual <a class="el" href="group__types.html#gad9817a6a21dfcb91429f0152c99d6313">Probability</a> probOverLoss </td>
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<p>Probability of the tranche losing the same or more than the fractional amount given.</p>
<p>The passed lossFraction is a fraction of losses over the tranche notional (not the portfolio). </p>
<p>Reimplemented in <a class="el" href="class_quant_lib_1_1_saddle_point_loss_model.html#a5c444f086773dc17a43194ee67b94dbe">SaddlePointLossModel< CP ></a>, and <a class="el" href="class_quant_lib_1_1_gaussian_l_h_p_loss_model.html#a4e0292b9c7c9fe33fa3e8a0dfc0332fe">GaussianLHPLossModel</a>.</p>
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<h2 class="memtitle"><span class="permalink"><a href="#a5654a8f873835331fd216c9102ff24de">◆ </a></span>probsBeingNthEvent()</h2>
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<td class="memname">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>> > probsBeingNthEvent </td>
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<p>Probabilities for each of the (remaining) basket elements in the pool to have defaulted by time d and at the same time be the Nth defaulting name to default in the basket. This method is oriented to default order dependent portfolio pricing (e.g. NTDs) The the probabilities ordering in the vector coincides with the pool order. </p>
<p>Reimplemented in <a class="el" href="class_quant_lib_1_1_random_l_m.html#ac4caa299d66bc18634f42055ef123f91">RandomLM< derivedRandomLM, copulaPolicy, USNG ></a>.</p>
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<h2 class="memtitle"><span class="permalink"><a href="#adc0cf14e9e70a964322a127b4916ea7f">◆ </a></span>probAtLeastNEvents()</h2>
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<td class="memname">virtual <a class="el" href="group__types.html#gad9817a6a21dfcb91429f0152c99d6313">Probability</a> probAtLeastNEvents </td>
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<p>Returns the probaility of having a given or larger number of defaults in the basket portfolio at a given time. </p>
<p>Reimplemented in <a class="el" href="class_quant_lib_1_1_random_l_m.html#a99f9c730a9f156b9fa4d5824716221bd">RandomLM< derivedRandomLM, copulaPolicy, USNG ></a>, and <a class="el" href="class_quant_lib_1_1_constant_loss_model.html#a99f9c730a9f156b9fa4d5824716221bd">ConstantLossModel< copulaPolicy ></a>.</p>
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<h2 class="memtitle"><span class="permalink"><a href="#a9a424b4c46a2d345a8b92184ac7ebbf3">◆ </a></span>expectedRecovery()</h2>
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<td class="memname">virtual <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> expectedRecovery </td>
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<td class="paramname"><em>iName</em>, </td>
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<p>Expected RR for name conditinal to default by that date. </p>
<p>Reimplemented in <a class="el" href="class_quant_lib_1_1_constant_loss_model.html#a58a1708f1be9499a9618110553a1ae2b">ConstantLossModel< copulaPolicy ></a>, and <a class="el" href="class_quant_lib_1_1_gaussian_l_h_p_loss_model.html#a5a133a222c8c8093c78bda8f07787ca1">GaussianLHPLossModel</a>.</p>
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