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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_spot_recovery_latent_model.html">SpotRecoveryLatentModel</a></li> </ul>
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<a href="#pub-methods">Public Member Functions</a> |
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<div class="title">SpotRecoveryLatentModel< copulaPolicy > Class Template Reference</div> </div>
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<p>Random spot recovery rate latent variable portfolio model.
<a href="class_quant_lib_1_1_spot_recovery_latent_model.html#details">More...</a></p>
<p><code>#include <ql/experimental/credit/spotlosslatentmodel.hpp></code></p>
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<img id="dynsection-0-trigger" src="closed.png" alt="+"/> Inheritance diagram for SpotRecoveryLatentModel< 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>
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 </td><td class="memItemRight" valign="bottom"><b>SpotRecoveryLatentModel</b> (const std::vector< std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > > &<a class="el" href="class_quant_lib_1_1_latent_model.html#a4b308a15a8f13a308117e55209d99fcd">factorWeights</a>, const std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > &recoveries, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> modelA, LatentModelIntegrationType::LatentModelIntegrationType integralType, const initTraits &ini=initTraits())</td></tr>
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void </td><td class="memItemRight" valign="bottom"><b>resetBasket</b> (const ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_basket.html">Basket</a> > &basket) const</td></tr>
<tr class="separator:a74b99e4832df2085d0d5ba3d82af2456"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a5034d127b501f9abe630adc9cbe89b8a"><td class="memItemLeft" align="right" valign="top"><a id="a5034d127b501f9abe630adc9cbe89b8a"></a>
<a class="el" href="group__types.html#gad9817a6a21dfcb91429f0152c99d6313">Probability</a> </td><td class="memItemRight" valign="bottom"><b>conditionalDefaultProbability</b> (const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &date, <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> iName, const std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > &mktFactors) const</td></tr>
<tr class="separator:a5034d127b501f9abe630adc9cbe89b8a"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a5ecfe2190404d92a4641d3478d82c067"><td class="memItemLeft" align="right" valign="top"><a id="a5ecfe2190404d92a4641d3478d82c067"></a>
<a class="el" href="group__types.html#gad9817a6a21dfcb91429f0152c99d6313">Probability</a> </td><td class="memItemRight" valign="bottom"><b>conditionalDefaultProbability</b> (<a class="el" href="group__types.html#gad9817a6a21dfcb91429f0152c99d6313">Probability</a> prob, <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> iName, const std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > &mktFactors) const</td></tr>
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<tr class="memitem:aeb0d6e75705e728822e13e88c5b77921"><td class="memItemLeft" align="right" valign="top"><a id="aeb0d6e75705e728822e13e88c5b77921"></a>
<a class="el" href="group__types.html#gad9817a6a21dfcb91429f0152c99d6313">Probability</a> </td><td class="memItemRight" valign="bottom"><b>conditionalDefaultProbabilityInvP</b> (<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> invCumYProb, <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> iName, const std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > &m) const</td></tr>
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<tr class="memitem:a7abaad5215f17f4cd982d6a7cf049d47"><td class="memItemLeft" align="right" valign="top"><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_spot_recovery_latent_model.html#a7abaad5215f17f4cd982d6a7cf049d47">expCondRecovery</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, const std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > &mktFactors) const</td></tr>
<tr class="separator:a7abaad5215f17f4cd982d6a7cf049d47"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a6afd6867d05be65e4053ce2bea88eb0e"><td class="memItemLeft" align="right" valign="top"><a id="a6afd6867d05be65e4053ce2bea88eb0e"></a>
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>expCondRecoveryP</b> (<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> uncondDefP, <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> iName, const std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > &mktFactors) const</td></tr>
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<tr class="memitem:aac1f6a9c429d060b3f3b1f5bc9f4dd93"><td class="memItemLeft" align="right" valign="top"><a id="aac1f6a9c429d060b3f3b1f5bc9f4dd93"></a>
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>expCondRecoveryInvPinvRR</b> (<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> invUncondDefP, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> invUncondRR, <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> iName, const std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > &mktFactors) const</td></tr>
<tr class="separator:aac1f6a9c429d060b3f3b1f5bc9f4dd93"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a845d2c455685f70cb7d1120538021a84"><td class="memItemLeft" align="right" valign="top"><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_spot_recovery_latent_model.html#a845d2c455685f70cb7d1120538021a84">conditionalRecovery</a> (<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> latentVarSample, <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> iName, const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &d) const</td></tr>
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<tr class="memitem:a91d7fa99812751d7e10d51455ef0dd47"><td class="memItemLeft" align="right" valign="top"><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_spot_recovery_latent_model.html#a91d7fa99812751d7e10d51455ef0dd47">latentRRVarValue</a> (const std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > &allFactors, <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> iName) const</td></tr>
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<tr class="memitem:a06b7716153bfcfaddec14f3a9ca3e7e8"><td class="memItemLeft" align="right" valign="top"><a id="a06b7716153bfcfaddec14f3a9ca3e7e8"></a>
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>conditionalExpLossRR</b> (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, const std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > &mktFactors) const</td></tr>
<tr class="separator:a06b7716153bfcfaddec14f3a9ca3e7e8"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:abcd28ae674476a5a90c1d4db49818cfd"><td class="memItemLeft" align="right" valign="top"><a id="abcd28ae674476a5a90c1d4db49818cfd"></a>
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>conditionalExpLossRRInv</b> (<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> invP, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> invRR, <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> iName, const std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > &mktFactors) const</td></tr>
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<tr class="memitem:a4698ee9571f03b1636eec707c2cb0dd7"><td class="memItemLeft" align="right" valign="top"><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_spot_recovery_latent_model.html#a4698ee9571f03b1636eec707c2cb0dd7">expectedLoss</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) const</td></tr>
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<tr class="inherit_header pub_methods_class_quant_lib_1_1_latent_model"><td colspan="2" onclick="javascript:toggleInherit('pub_methods_class_quant_lib_1_1_latent_model')"><img src="closed.png" alt="-"/> Public Member Functions inherited from <a class="el" href="class_quant_lib_1_1_latent_model.html">LatentModel< copulaPolicy ></a></td></tr>
<tr class="memitem:ac5c54df7ed3b930268c8d7752c101725 inherit pub_methods_class_quant_lib_1_1_latent_model"><td class="memItemLeft" align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><b>update</b> ()</td></tr>
<tr class="separator:ac5c54df7ed3b930268c8d7752c101725 inherit pub_methods_class_quant_lib_1_1_latent_model"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:acce0ab2cacc475b2434f24c65c91685a inherit pub_methods_class_quant_lib_1_1_latent_model"><td class="memItemLeft" align="right" valign="top"><a id="acce0ab2cacc475b2434f24c65c91685a"></a>
<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> </td><td class="memItemRight" valign="bottom"><b>size</b> () const</td></tr>
<tr class="separator:acce0ab2cacc475b2434f24c65c91685a inherit pub_methods_class_quant_lib_1_1_latent_model"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a56abc887c13cbde93385f6875e849541 inherit pub_methods_class_quant_lib_1_1_latent_model"><td class="memItemLeft" align="right" valign="top"><a id="a56abc887c13cbde93385f6875e849541"></a>
<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_latent_model.html#a56abc887c13cbde93385f6875e849541">numFactors</a> () const</td></tr>
<tr class="memdesc:a56abc887c13cbde93385f6875e849541 inherit pub_methods_class_quant_lib_1_1_latent_model"><td class="mdescLeft"> </td><td class="mdescRight">Number of systemic factors. <br /></td></tr>
<tr class="separator:a56abc887c13cbde93385f6875e849541 inherit pub_methods_class_quant_lib_1_1_latent_model"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:ac9c9998bd5485693575f044342216cdc inherit pub_methods_class_quant_lib_1_1_latent_model"><td class="memItemLeft" align="right" valign="top"><a id="ac9c9998bd5485693575f044342216cdc"></a>
<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_latent_model.html#ac9c9998bd5485693575f044342216cdc">numTotalFactors</a> () const</td></tr>
<tr class="memdesc:ac9c9998bd5485693575f044342216cdc inherit pub_methods_class_quant_lib_1_1_latent_model"><td class="mdescLeft"> </td><td class="mdescRight">Number of total free random factors; systemic and idiosyncratic. <br /></td></tr>
<tr class="separator:ac9c9998bd5485693575f044342216cdc inherit pub_methods_class_quant_lib_1_1_latent_model"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:ae4ed5d88e196cc3c54f7793f8196fbb4 inherit pub_methods_class_quant_lib_1_1_latent_model"><td class="memItemLeft" align="right" valign="top"> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_latent_model.html#ae4ed5d88e196cc3c54f7793f8196fbb4">LatentModel</a> (const std::vector< std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > > &factorsWeights, const typename copulaType::initTraits &ini=copulaType::initTraits())</td></tr>
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<tr class="memitem:abe3447b3892833206298d351755afc1e inherit pub_methods_class_quant_lib_1_1_latent_model"><td class="memItemLeft" align="right" valign="top"> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_latent_model.html#abe3447b3892833206298d351755afc1e">LatentModel</a> (const std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > &factorsWeight, const typename copulaType::initTraits &ini=copulaType::initTraits())</td></tr>
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<tr class="memitem:abafaa85a02d48b40e33125881e5cd57d inherit pub_methods_class_quant_lib_1_1_latent_model"><td class="memItemLeft" align="right" valign="top"> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_latent_model.html#abafaa85a02d48b40e33125881e5cd57d">LatentModel</a> (<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> correlSqr, <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> nVariables, const typename copulaType::initTraits &ini=copulaType::initTraits())</td></tr>
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<tr class="memitem:a167de0197f4aa9da234d78f844902aeb inherit pub_methods_class_quant_lib_1_1_latent_model"><td class="memItemLeft" align="right" valign="top"> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_latent_model.html#a167de0197f4aa9da234d78f844902aeb">LatentModel</a> (const <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_quote.html">Quote</a> > &singleFactorCorrel, <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> nVariables, const typename copulaType::initTraits &ini=copulaType::initTraits())</td></tr>
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<tr class="memitem:a4b308a15a8f13a308117e55209d99fcd inherit pub_methods_class_quant_lib_1_1_latent_model"><td class="memItemLeft" align="right" valign="top"><a id="a4b308a15a8f13a308117e55209d99fcd"></a>
const std::vector< 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_latent_model.html#a4b308a15a8f13a308117e55209d99fcd">factorWeights</a> () const</td></tr>
<tr class="memdesc:a4b308a15a8f13a308117e55209d99fcd inherit pub_methods_class_quant_lib_1_1_latent_model"><td class="mdescLeft"> </td><td class="mdescRight">Provides values of the factors \( a_{i,k} \). <br /></td></tr>
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<tr class="memitem:a2196b7464ec3bb07339e71d9d7caf99d inherit pub_methods_class_quant_lib_1_1_latent_model"><td class="memItemLeft" align="right" valign="top"><a id="a2196b7464ec3bb07339e71d9d7caf99d"></a>
const 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_latent_model.html#a2196b7464ec3bb07339e71d9d7caf99d">idiosyncFctrs</a> () const</td></tr>
<tr class="memdesc:a2196b7464ec3bb07339e71d9d7caf99d inherit pub_methods_class_quant_lib_1_1_latent_model"><td class="mdescLeft"> </td><td class="mdescRight">Provides values of the normalized idiosyncratic factors \( Z_i \). <br /></td></tr>
<tr class="separator:a2196b7464ec3bb07339e71d9d7caf99d inherit pub_methods_class_quant_lib_1_1_latent_model"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a31dc4b961ba8016810704c496e14079c inherit pub_methods_class_quant_lib_1_1_latent_model"><td class="memItemLeft" align="right" valign="top"><a id="a31dc4b961ba8016810704c496e14079c"></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_latent_model.html#a31dc4b961ba8016810704c496e14079c">latentVariableCorrel</a> (<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> iVar1, <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> iVar2) const</td></tr>
<tr class="memdesc:a31dc4b961ba8016810704c496e14079c inherit pub_methods_class_quant_lib_1_1_latent_model"><td class="mdescLeft"> </td><td class="mdescRight">Latent variable correlations: <br /></td></tr>
<tr class="separator:a31dc4b961ba8016810704c496e14079c inherit pub_methods_class_quant_lib_1_1_latent_model"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a9d2172a86cee3a6b5e87ef6804283d9a inherit pub_methods_class_quant_lib_1_1_latent_model"><td class="memItemLeft" align="right" valign="top"><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_latent_model.html#a9d2172a86cee3a6b5e87ef6804283d9a">cumulativeY</a> (<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> val, <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> iVariable) const</td></tr>
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<tr class="memitem:ac42e8a3a9fe28bd7cbb0144e1fde4e98 inherit pub_methods_class_quant_lib_1_1_latent_model"><td class="memItemLeft" align="right" valign="top"><a id="ac42e8a3a9fe28bd7cbb0144e1fde4e98"></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_latent_model.html#ac42e8a3a9fe28bd7cbb0144e1fde4e98">cumulativeZ</a> (<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> z) const</td></tr>
<tr class="memdesc:ac42e8a3a9fe28bd7cbb0144e1fde4e98 inherit pub_methods_class_quant_lib_1_1_latent_model"><td class="mdescLeft"> </td><td class="mdescRight">Cumulative distribution of Z, the idiosyncratic/error factors. <br /></td></tr>
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<tr class="memitem:a7a6a9e92d606e0b463736794cc2415b8 inherit pub_methods_class_quant_lib_1_1_latent_model"><td class="memItemLeft" align="right" valign="top"><a id="a7a6a9e92d606e0b463736794cc2415b8"></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_latent_model.html#a7a6a9e92d606e0b463736794cc2415b8">density</a> (const std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > &m) const</td></tr>
<tr class="memdesc:a7a6a9e92d606e0b463736794cc2415b8 inherit pub_methods_class_quant_lib_1_1_latent_model"><td class="mdescLeft"> </td><td class="mdescRight">Density function of M, the market/systemic factors. <br /></td></tr>
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<tr class="memitem:a54052fb0c8917e0d63d6d52230e3b59a inherit pub_methods_class_quant_lib_1_1_latent_model"><td class="memItemLeft" align="right" valign="top"><a id="a54052fb0c8917e0d63d6d52230e3b59a"></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_latent_model.html#a54052fb0c8917e0d63d6d52230e3b59a">inverseCumulativeDensity</a> (<a class="el" href="group__types.html#gad9817a6a21dfcb91429f0152c99d6313">Probability</a> p, <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> iFactor) const</td></tr>
<tr class="memdesc:a54052fb0c8917e0d63d6d52230e3b59a inherit pub_methods_class_quant_lib_1_1_latent_model"><td class="mdescLeft"> </td><td class="mdescRight">Inverse cumulative distribution of the systemic factor iFactor. <br /></td></tr>
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<tr class="memitem:a36e205d1cabb02b58e65e4f1ee08658f inherit pub_methods_class_quant_lib_1_1_latent_model"><td class="memItemLeft" align="right" valign="top"><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_latent_model.html#a36e205d1cabb02b58e65e4f1ee08658f">inverseCumulativeY</a> (<a class="el" href="group__types.html#gad9817a6a21dfcb91429f0152c99d6313">Probability</a> p, <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> iVariable) const</td></tr>
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<tr class="memitem:acd5b1879390c62bbddd5f61deb20b49e inherit pub_methods_class_quant_lib_1_1_latent_model"><td class="memItemLeft" align="right" valign="top"><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_latent_model.html#acd5b1879390c62bbddd5f61deb20b49e">inverseCumulativeZ</a> (<a class="el" href="group__types.html#gad9817a6a21dfcb91429f0152c99d6313">Probability</a> p) const</td></tr>
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<tr class="memitem:a2b0482da26b94fcd714869c802efd590 inherit pub_methods_class_quant_lib_1_1_latent_model"><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_latent_model.html#a2b0482da26b94fcd714869c802efd590">allFactorCumulInverter</a> (const std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > &probs) const</td></tr>
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<tr class="memitem:a0dd0aa599a5b42688ff1ca2bd4cf9d3f inherit pub_methods_class_quant_lib_1_1_latent_model"><td class="memItemLeft" align="right" valign="top"><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_latent_model.html#a0dd0aa599a5b42688ff1ca2bd4cf9d3f">latentVarValue</a> (const std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > &allFactors, <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> iVar) const</td></tr>
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const copulaType & </td><td class="memItemRight" valign="bottom"><b>copula</b> () const</td></tr>
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<tr class="memitem:ada44c6f03858c0d5f260c1815cc22246 inherit pub_methods_class_quant_lib_1_1_latent_model"><td class="memItemLeft" align="right" valign="top"><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_latent_model.html#ada44c6f03858c0d5f260c1815cc22246">integratedExpectedValue</a> (const ext::function< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a>(const std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > &v1)> &f) const</td></tr>
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<tr class="memitem:ac5a4f1b3cf4b5973b5362998c89a82a3 inherit pub_methods_class_quant_lib_1_1_latent_model"><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_latent_model.html#ac5a4f1b3cf4b5973b5362998c89a82a3">integratedExpectedValue</a> (const ext::function< <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> > >(const std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > &v1)> &f) const</td></tr>
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<tr class="inherit_header pub_methods_class_quant_lib_1_1_observer"><td colspan="2" onclick="javascript:toggleInherit('pub_methods_class_quant_lib_1_1_observer')"><img src="closed.png" alt="-"/> Public Member Functions inherited from <a class="el" href="class_quant_lib_1_1_observer.html">Observer</a></td></tr>
<tr class="memitem:af6a9d3ca0b7f388f3b7ccb1eccf11f63 inherit pub_methods_class_quant_lib_1_1_observer"><td class="memItemLeft" align="right" valign="top"><a id="af6a9d3ca0b7f388f3b7ccb1eccf11f63"></a>
 </td><td class="memItemRight" valign="bottom"><b>Observer</b> (const <a class="el" href="class_quant_lib_1_1_observer.html">Observer</a> &)</td></tr>
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<a class="el" href="class_quant_lib_1_1_observer.html">Observer</a> & </td><td class="memItemRight" valign="bottom"><b>operator=</b> (const <a class="el" href="class_quant_lib_1_1_observer.html">Observer</a> &)</td></tr>
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std::pair< iterator, bool > </td><td class="memItemRight" valign="bottom"><b>registerWith</b> (const ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_observable.html">Observable</a> > &)</td></tr>
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<tr class="memitem:a51d57eb97a3a57312a47bda29235f182 inherit pub_methods_class_quant_lib_1_1_observer"><td class="memItemLeft" align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_observer.html#a51d57eb97a3a57312a47bda29235f182">registerWithObservables</a> (const ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_observer.html">Observer</a> > &)</td></tr>
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<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> </td><td class="memItemRight" valign="bottom"><b>unregisterWith</b> (const ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_observable.html">Observable</a> > &)</td></tr>
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void </td><td class="memItemRight" valign="bottom"><b>unregisterWithAll</b> ()</td></tr>
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<tr class="memitem:a3d53f9669c128dadc74a5d044a7c8e68 inherit pub_methods_class_quant_lib_1_1_observer"><td class="memItemLeft" align="right" valign="top">virtual void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_observer.html#a3d53f9669c128dadc74a5d044a7c8e68">deepUpdate</a> ()</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>
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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>
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<tr class="heading"><td colspan="2"><h2 class="groupheader"><a name="pro-methods"></a>
Protected Member Functions</h2></td></tr>
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const ext::shared_ptr< LMIntegration > & </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_spot_recovery_latent_model.html#acef84214a1fd603328f8f57dc36653d2">integration</a> () const</td></tr>
<tr class="memdesc:acef84214a1fd603328f8f57dc36653d2"><td class="mdescLeft"> </td><td class="mdescRight">access to integration: <br /></td></tr>
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<tr class="inherit_header pro_methods_class_quant_lib_1_1_latent_model"><td colspan="2" onclick="javascript:toggleInherit('pro_methods_class_quant_lib_1_1_latent_model')"><img src="closed.png" alt="-"/> Protected Member Functions inherited from <a class="el" href="class_quant_lib_1_1_latent_model.html">LatentModel< copulaPolicy ></a></td></tr>
<tr class="memitem:a50a342d7329355d3155218ce93059fc6 inherit pro_methods_class_quant_lib_1_1_latent_model"><td class="memItemLeft" align="right" valign="top"><a id="a50a342d7329355d3155218ce93059fc6"></a>
virtual const ext::shared_ptr< LMIntegration > & </td><td class="memItemRight" valign="bottom"><b>integration</b> () const</td></tr>
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Additional Inherited Members</h2></td></tr>
<tr class="inherit_header pub_types_class_quant_lib_1_1_latent_model"><td colspan="2" onclick="javascript:toggleInherit('pub_types_class_quant_lib_1_1_latent_model')"><img src="closed.png" alt="-"/> Public Types inherited from <a class="el" href="class_quant_lib_1_1_latent_model.html">LatentModel< copulaPolicy ></a></td></tr>
<tr class="memitem:ac175647caaabf0dae2f44633ce56cdcf inherit pub_types_class_quant_lib_1_1_latent_model"><td class="memItemLeft" align="right" valign="top"><a id="ac175647caaabf0dae2f44633ce56cdcf"></a>
typedef copulaPolicy </td><td class="memItemRight" valign="bottom"><b>copulaType</b></td></tr>
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<tr class="memitem:a78de5f2b6bce96d718e3c18b9f52d67c inherit pub_types_class_quant_lib_1_1_observer"><td class="memItemLeft" align="right" valign="top"><a id="a78de5f2b6bce96d718e3c18b9f52d67c"></a>
typedef boost::unordered_set< ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_observable.html">Observable</a> > > </td><td class="memItemRight" valign="bottom"><b>set_type</b></td></tr>
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typedef set_type::iterator </td><td class="memItemRight" valign="bottom"><b>iterator</b></td></tr>
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<tr class="inherit_header pro_attribs_class_quant_lib_1_1_latent_model"><td colspan="2" onclick="javascript:toggleInherit('pro_attribs_class_quant_lib_1_1_latent_model')"><img src="closed.png" alt="-"/> Protected Attributes inherited from <a class="el" href="class_quant_lib_1_1_latent_model.html">LatentModel< copulaPolicy ></a></td></tr>
<tr class="memitem:a3769373e685b70bb91c38bd895b886fd inherit pro_attribs_class_quant_lib_1_1_latent_model"><td class="memItemLeft" align="right" valign="top"><a id="a3769373e685b70bb91c38bd895b886fd"></a>
std::vector< std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > > </td><td class="memItemRight" valign="bottom"><b>factorWeights_</b></td></tr>
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<tr class="memitem:a0dd506ff5fd9bbb04b51f783220ed2a9 inherit pro_attribs_class_quant_lib_1_1_latent_model"><td class="memItemLeft" align="right" valign="top"><a id="a0dd506ff5fd9bbb04b51f783220ed2a9"></a>
<a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_quote.html">Quote</a> > </td><td class="memItemRight" valign="bottom"><b>cachedMktFactor_</b></td></tr>
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std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > </td><td class="memItemRight" valign="bottom"><b>idiosyncFctrs_</b></td></tr>
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<tr class="memitem:ad8639907820775808810c8a525d5bdd8 inherit pro_attribs_class_quant_lib_1_1_latent_model"><td class="memItemLeft" align="right" valign="top"><a id="ad8639907820775808810c8a525d5bdd8"></a>
<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_latent_model.html#ad8639907820775808810c8a525d5bdd8">nFactors_</a></td></tr>
<tr class="memdesc:ad8639907820775808810c8a525d5bdd8 inherit pro_attribs_class_quant_lib_1_1_latent_model"><td class="mdescLeft"> </td><td class="mdescRight">Number of systemic factors. <br /></td></tr>
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<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_latent_model.html#a44fb9cd28ad962ce4f8e1fa2d91e1147">nVariables_</a></td></tr>
<tr class="memdesc:a44fb9cd28ad962ce4f8e1fa2d91e1147 inherit pro_attribs_class_quant_lib_1_1_latent_model"><td class="mdescLeft"> </td><td class="mdescRight">Number of latent model variables, idiosyncratic terms or model dim. <br /></td></tr>
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copulaType </td><td class="memItemRight" valign="bottom"><b>copula_</b></td></tr>
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<a name="details" id="details"></a><h2 class="groupheader">Detailed Description</h2>
<div class="textblock"><h3>template<class copulaPolicy><br />
class QuantLib::SpotRecoveryLatentModel< copulaPolicy ></h3>
<p>Random spot recovery rate latent variable portfolio model. </p>
<dl class="section user"><dt></dt><dd>See: </dd></dl>
<dl class="section user"><dt></dt><dd><b>A Spot Stochastic Recovery Extension of the Gaussian Copula</b> N.Bennani and J.Maetz, MPRA July 2009 </dd></dl>
<dl class="section user"><dt></dt><dd><b>Extension of Spot Recovery model for Gaussian Copula</b> H.Li, October 2009, MPRA </dd></dl>
<dl class="section user"><dt></dt><dd>The model is adpated here for a multifactor set up and a generic copula so it can be used for pricing in single factor mode or for risk metrics in its multifactor version.</dd></dl>
<dl class="section user"><dt></dt><dd></dd></dl>
<dl class="section examples"><dt>Examples</dt><dd><a class="el" href="_basket_losses_8cpp-example.html#_a18">BasketLosses.cpp</a>.</dd>
</dl>
</div><h2 class="groupheader">Member Function Documentation</h2>
<a id="a7abaad5215f17f4cd982d6a7cf049d47"></a>
<h2 class="memtitle"><span class="permalink"><a href="#a7abaad5215f17f4cd982d6a7cf049d47">◆ </a></span>expCondRecovery()</h2>
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<td class="memname"><a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> expCondRecovery </td>
<td>(</td>
<td class="paramtype">const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> & </td>
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<td class="paramname"><em>iName</em>, </td>
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<td class="paramtype">const std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > & </td>
<td class="paramname"><em>mktFactors</em> </td>
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<p>Expected conditional spot recovery rate. Conditional on a set of systemic factors and default returns the integrated attainable recovery values. </p><dl class="section user"><dt></dt><dd>Corresponds to a multifactor generalization of the model in eq. 44 on p.15 of <b>Extension of Spot Recovery Model for Gaussian Copula</b> Hui Li. 2009 Only remember that \(\rho_l Z \) there is here (multiple betas): \( \sum_k \beta_{ik}^l Z_k \) and that \( \rho_d \rho_l \) there is here: \( \sum_k \beta_{ik}^d \beta_{ik}^l \) </dd></dl>
<dl class="section user"><dt></dt><dd>(d,l corresponds to first and last set of betas) </dd></dl>
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<h2 class="memtitle"><span class="permalink"><a href="#a845d2c455685f70cb7d1120538021a84">◆ </a></span>conditionalRecovery()</h2>
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<td class="memname"><a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> conditionalRecovery </td>
<td>(</td>
<td class="paramtype"><a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td>
<td class="paramname"><em>latentVarSample</em>, </td>
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<td class="paramtype"><a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> </td>
<td class="paramname"><em>iName</em>, </td>
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<td class="paramtype">const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> & </td>
<td class="paramname"><em>d</em> </td>
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<p>Implements equation 42 on p.14 (second). Remember that for this call to make sense the sample used must be one leading to a default. Theres no check on this. This member typically to be used within a simulation. </p>
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<h2 class="memtitle"><span class="permalink"><a href="#a91d7fa99812751d7e10d51455ef0dd47">◆ </a></span>latentRRVarValue()</h2>
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<td class="memname"><a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> latentRRVarValue </td>
<td>(</td>
<td class="paramtype">const std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > & </td>
<td class="paramname"><em>allFactors</em>, </td>
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<td class="paramkey"></td>
<td></td>
<td class="paramtype"><a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> </td>
<td class="paramname"><em>iName</em> </td>
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<p>Due to the way the latent model is splitted in two parts, we call the base class for the default sample and the LM owned here for the RR model sample. This sample only makes sense if it led to a default. </p><dl class="params"><dt>Parameters</dt><dd>
<table class="params">
<tr><td class="paramname">allFactors</td><td>All sampled factors, default and RR valiables. </td></tr>
<tr><td class="paramname">iName</td><td>The index of the name for which we want the RR sample</td></tr>
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<h2 class="memtitle"><span class="permalink"><a href="#a4698ee9571f03b1636eec707c2cb0dd7">◆ </a></span>expectedLoss()</h2>
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<td class="memname"><a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> expectedLoss </td>
<td>(</td>
<td class="paramtype">const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> & </td>
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<td class="paramtype"><a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> </td>
<td class="paramname"><em>iName</em> </td>
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<td>)</td>
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<p>Single name expected loss.</p><dl class="section user"><dt></dt><dd>The main reason of this method is for the testing of this model. The model is coherent in that it preserves the single name expected loss and thus is coherent with the single name CDS market when used in the pricing context. i.e. it should match: \(pdef_i(d) \times RR_i \) </dd></dl>
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