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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_recursive_loss_model.html">RecursiveLossModel</a></li> </ul>
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<a href="#pub-methods">Public Member Functions</a> |
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<div class="title">RecursiveLossModel< copulaPolicy > Class Template Reference</div> </div>
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<p><code>#include <ql/experimental/credit/recursivelossmodel.hpp></code></p>
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<img id="dynsection-0-trigger" src="closed.png" alt="+"/> Inheritance diagram for RecursiveLossModel< copulaPolicy >:</div>
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<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:a7c19193a1b16f35942d8d255f1bb47b5"><td class="memItemLeft" align="right" valign="top"><a id="a7c19193a1b16f35942d8d255f1bb47b5"></a>
 </td><td class="memItemRight" valign="bottom"><b>RecursiveLossModel</b> (const ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_constant_loss_latentmodel.html">ConstantLossLatentmodel</a>< copulaPolicy > > &m, <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> nbuckets=1)</td></tr>
<tr class="separator:a7c19193a1b16f35942d8d255f1bb47b5"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:ab3842515c131c40a13f4f23eb33a316b"><td class="memItemLeft" align="right" valign="top"><a id="ab3842515c131c40a13f4f23eb33a316b"></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> &date) const</td></tr>
<tr class="separator:ab3842515c131c40a13f4f23eb33a316b"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a902221d6a6378469c1b73edc4f81db41"><td class="memItemLeft" align="right" valign="top"><a id="a902221d6a6378469c1b73edc4f81db41"></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>lossProbability</b> (const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &date) const</td></tr>
<tr class="separator:a902221d6a6378469c1b73edc4f81db41"><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_recursive_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">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_recursive_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">Value at Risk given a default loss percentile. <br /></td></tr>
<tr class="separator:aec23ffcd07d5909b2f25205a43345c2a"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:ad434a4b527b4f0abb604a5611cea5b48"><td class="memItemLeft" align="right" valign="top"><a id="ad434a4b527b4f0abb604a5611cea5b48"></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_recursive_loss_model.html#ad434a4b527b4f0abb604a5611cea5b48">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> perctl) const</td></tr>
<tr class="memdesc:ad434a4b527b4f0abb604a5611cea5b48"><td class="mdescLeft"> </td><td class="mdescRight">Expected shortfall given a default loss percentile. <br /></td></tr>
<tr class="separator:ad434a4b527b4f0abb604a5611cea5b48"><td class="memSeparator" colspan="2"> </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>
<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:ac02f79fbb2f12fe064a2531709e3a113"><td class="memItemLeft" align="right" valign="top"><a id="ac02f79fbb2f12fe064a2531709e3a113"></a>
void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_recursive_loss_model.html#ac02f79fbb2f12fe064a2531709e3a113">resetModel</a> ()</td></tr>
<tr class="memdesc:ac02f79fbb2f12fe064a2531709e3a113"><td class="mdescLeft"> </td><td class="mdescRight">Concrete models do now any updates/inits they need on basket reset. <br /></td></tr>
<tr class="separator:ac02f79fbb2f12fe064a2531709e3a113"><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>
<tr class="memitem:a7457d68923669cb5fcf78e83720b0bd7"><td class="memItemLeft" align="right" valign="top"><a id="a7457d68923669cb5fcf78e83720b0bd7"></a>
const ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_constant_loss_latentmodel.html">ConstantLossLatentmodel</a>< copulaPolicy > > </td><td class="memItemRight" valign="bottom"><b>copula_</b></td></tr>
<tr class="separator:a7457d68923669cb5fcf78e83720b0bd7"><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>
</table>
<a name="details" id="details"></a><h2 class="groupheader">Detailed Description</h2>
<div class="textblock"><h3>template<class copulaPolicy><br />
class QuantLib::RecursiveLossModel< copulaPolicy ></h3>
<p>Recursive STCDO default loss model for a heterogeneous pool of names. The pool names are heterogeneous in their default probabilities, notionals and recovery rates. Correlations are given by the latent model. The recursive pricing algorithm used here is described in Andersen, Sidenius and Basu; "All your hedges in one basket", Risk, November 2003, pages 67-72 </p><pre class="fragment">Notice that using copulas other than Gaussian it is only an
approximation (see remark on p.68).
\todo Make the loss unit equal to some small fraction depending on the
portfolio loss weights (notionals and recoveries). As it is now this
is ok for pricing but not for risk metrics. See the discussion in O'Kane
18.3.2
\todo Intengrands should all use the inverted probabilities for
performance instead of calling the copula inversion with the same vals.
</pre> </div></div><!-- contents -->
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