Default loss distribution convolution for finite homogeneous pool. More...

#include <qle/models/homogeneouspooldef.hpp>

Inheritance diagram for HomogeneousPoolLossModel< copulaPolicy >:

Public Member Functions
	HomogeneousPoolLossModel (const QuantLib::ext::shared_ptr< ConstantLossLatentmodel< copulaPolicy > > &copula, Size nBuckets, Real max=5., Real min=-5., Real nSteps=50)
Real	expectedTrancheLoss (const Date &d, bool zeroRecovery=false) const
Real	percentile (const Date &d, Real percentile) const
	Value at Risk given a default loss percentile.
Real	expectedShortfall (const Date &d, Probability percentile) const

Protected Member Functions
Distribution	lossDistrib (const Date &d, bool zeroRecovery=false) const
virtual Real	expectedTrancheLoss (const Date &d, Real recoveryRate=Null< Real >()) const
virtual Probability	probOverLoss (const Date &d, Real lossFraction) const
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 Real	expectedRecovery (const Date &, Size iName, const DefaultProbKey &) const
virtual QuantLib::Real	correlation () const

Protected Attributes
const QuantLib::ext::shared_ptr< ConstantLossLatentmodel< copulaPolicy > >	copula_
Size	nBuckets_
Real	attach_
Real	detach_
Real	notional_
Real	attachAmount_
Real	detachAmount_
std::vector< Real >	notionals_
Protected Attributes inherited from DefaultLossModel
RelinkableHandle< QuantExt::Basket >	basket_

Detailed Description

template<class copulaPolicy>
class QuantExt::HomogeneousPoolLossModel< copulaPolicy >

Default loss distribution convolution for finite homogeneous pool.

Member Function Documentation

template<class copulaPolicy>

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

virtual

Value at Risk given a default loss percentile.

Reimplemented from DefaultLossModel.