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| RandomDefaultLM (const ext::shared_ptr< DefaultLatentModel< copulaPolicy > > &model, const std::vector< Real > &recoveries=std::vector< Real >(), Size nSims=0, Real accuracy=1.e-6, BigNatural seed=2863311530UL) |
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| RandomDefaultLM (const ext::shared_ptr< ConstantLossLatentmodel< copulaPolicy > > &model, Size nSims=0, Real accuracy=1.e-6, BigNatural seed=2863311530UL) |
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Public Member Functions inherited from RandomLM< RandomDefaultLM, copulaPolicy, SobolRsg > |
virtual | ~RandomLM () |
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void | recalculate () |
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void | freeze () |
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void | unfreeze () |
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void | alwaysForwardNotifications () |
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| Observable (const Observable &) |
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Observable & | operator= (const Observable &) |
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void | notifyObservers () |
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| Observer (const Observer &) |
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Observer & | operator= (const Observer &) |
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std::pair< iterator, bool > | registerWith (const ext::shared_ptr< Observable > &) |
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void | registerWithObservables (const ext::shared_ptr< Observer > &) |
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Size | unregisterWith (const ext::shared_ptr< Observable > &) |
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void | unregisterWithAll () |
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virtual void | deepUpdate () |
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void | nextSample (const std::vector< Real > &values) const |
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void | initDates () const |
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Real | getEventRecovery (const defaultSimEvent &evt) const |
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Real | expectedRecovery (const Date &, Size iName, const DefaultProbKey &) const |
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Real | latentVarValue (const std::vector< Real > &factorsSample, Size iVar) const |
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Size | basketSize () const |
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Protected Member Functions inherited from RandomLM< RandomDefaultLM, copulaPolicy, SobolRsg > |
| RandomLM (Size numFactors, Size numLMVars, const copulaPolicy &copula, Size nSims, BigNatural seed) |
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void | update () |
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void | performCalculations () const |
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void | performSimulations () const |
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const std::vector< simEvent< RandomDefaultLM< copulaPolicy, SobolRsg > > > & | getSim (const Size iSim) const |
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Real | getEventRecovery (const simEvent< RandomDefaultLM< copulaPolicy, SobolRsg > > &evt) const |
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virtual Probability | probAtLeastNEvents (Size n, const Date &d) const |
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virtual Disposable< std::vector< Probability > > | probsBeingNthEvent (Size n, const Date &d) const |
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virtual Real | defaultCorrelation (const Date &d, Size iName, Size jName) const |
| Pearsons' default probability correlation.
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virtual Real | expectedTrancheLoss (const Date &d) const |
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virtual std::pair< Real, Real > | expectedTrancheLossInterval (const Date &d, Probability confidencePerc) const |
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virtual Disposable< std::map< Real, Probability > > | lossDistribution (const Date &d) const |
| Full loss distribution.
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virtual Histogram | computeHistogram (const Date &d) const |
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virtual Real | expectedShortfall (const Date &d, Real percent) const |
| Expected shortfall given a default loss percentile.
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virtual Real | percentile (const Date &d, Real percentile) const |
| Value at Risk given a default loss percentile.
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virtual ext::tuple< Real, Real, Real > | percentileAndInterval (const Date &d, Real percentile) const |
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virtual Disposable< std::vector< Real > > | splitVaRLevel (const Date &date, Real loss) const |
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virtual Disposable< std::vector< std::vector< Real > > > | splitVaRAndError (const Date &date, Real loss, Probability confInterval) const |
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virtual void | calculate () const |
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virtual Probability | probOverLoss (const Date &d, Real lossFraction) const |
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virtual Disposable< std::vector< Real > > | splitESFLevel (const Date &d, Real loss) const |
| Associated ESF fraction to each counterparty.
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virtual Real | densityTrancheLoss (const Date &d, Real lossFraction) const |
| Probability density of a given loss fraction of the basket notional.
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template<class copulaPolicy, class USNG = SobolRsg>
class QuantLib::RandomDefaultLM< copulaPolicy, USNG >
Random default with deterministic recovery event type.
- Stores sims results in a bitfield buffer for lean memory storage. Although strictly speaking this is not guaranteed by the compiler it amounts to reducing the memory storage by half. Some computations, like conditional statistics, precise that all sims results be available.
Default only latent model simulation with trivially fixed recovery amounts.