GaussianLHPLossModel Class Reference

#include <qle/models/gaussianlhplossmodel.hpp>

Inheritance diagram for GaussianLHPLossModel:

Public Types
typedef GaussianCopulaPolicy	copulaType

Public Member Functions
	GaussianLHPLossModel (const Handle< Quote > &correlQuote, const std::vector< Handle< QuantLib::RecoveryRateQuote > > &quotes)
	GaussianLHPLossModel (Real correlation, const std::vector< Real > &recoveries)
	GaussianLHPLossModel (const Handle< Quote > &correlQuote, const std::vector< Real > &recoveries)
void	update () override
Real	expectedTrancheLoss (const Date &d, Real recoveryRate=Null< Real >()) const override
Real	probOverLoss (const Date &d, Real remainingLossFraction) const override
Real	expectedShortfall (const Date &d, Probability perctl) const override
	Returns the ESF as an absolute amount (rather than a fraction).
Real	percentile (const Date &d, Real perctl) const override
	Value at Risk given a default loss percentile.
Probability	averageProb (const Date &d) const
Real	averageRecovery (const Date &d) const

Protected Member Functions
Real	percentilePortfolioLossFraction (const Date &d, Real perctl) const
Real	expectedRecovery (const Date &d, Size iName, const DefaultProbKey &ik) const override
virtual Real	expectedShortfall (const Date &d, Real percentile) const
	Expected shortfall given a default loss percentile.
virtual std::vector< Real >	splitVaRLevel (const Date &d, Real loss) const
	Associated VaR fraction to each counterparty.
virtual std::vector< Real >	splitESFLevel (const Date &d, Real loss) const
	Associated ESF fraction to each counterparty.
virtual std::map< Real, Probability >	lossDistribution (const Date &) const
	Full loss distribution.
virtual Real	densityTrancheLoss (const Date &d, Real lossFraction) const
	Probability density of a given loss fraction of the basket notional.
virtual std::vector< Probability >	probsBeingNthEvent (Size n, const Date &d) const
virtual Real	defaultCorrelation (const Date &d, Size iName, Size jName) const
	Pearsons' default probability correlation.
virtual Probability	probAtLeastNEvents (Size n, const Date &d) const
virtual QuantLib::Real	correlation () const

Additional Inherited Members
Protected Attributes inherited from DefaultLossModel
RelinkableHandle< QuantExt::Basket >	basket_

Detailed Description

Portfolio loss model with analytical expected tranche loss for a large homogeneous pool with Gaussian one-factor copula. See for example "The Normal Inverse Gaussian Distribution for Synthetic CDO pricing.", Anna Kalemanova, Bernd Schmid, Ralf Werner, Journal of Derivatives, Vol. 14, No. 3, (Spring 2007), pp. 80-93. http://www.defaultrisk.com/pp_crdrv_91.htm

It can be used to price a credit derivative or to provide risk metrics of a portfolio.

Member Function Documentation

expectedTrancheLoss()

Real expectedTrancheLoss ( const Date & d, Real recoveryRate = Null<Real>() ) const

overridevirtual

Reimplemented from DefaultLossModel.

probOverLoss()

Real probOverLoss ( const Date & d, Real remainingLossFraction ) const

overridevirtual

The passed remainingLossFraction is in live tranche units, not portfolio as a fraction of the remaining(live) tranche (i.e. a_remaining=0% and det_remaining=100%)

Reimplemented from DefaultLossModel.

expectedRecovery()

Real expectedRecovery ( const Date & , Size iName, const DefaultProbKey &  ) const

overrideprotectedvirtual

Expected RR for name conditinal to default by that date.

Reimplemented from DefaultLossModel.

percentile()

Real percentile ( const Date & d, Real percentile ) const

overridevirtual

Value at Risk given a default loss percentile.

Reimplemented from DefaultLossModel.