#include <qle/models/poollossmodel.hpp>

Inheritance diagram for PoolLossModel< CopulaPolicy >:

Public Member Functions
	PoolLossModel (bool homogeneous, const QuantLib::ext::shared_ptr< ExtendedConstantLossLatentModel< CopulaPolicy > > &copula, QuantLib::Size nBuckets, QuantLib::Real max=5.0, QuantLib::Real min=-5.0, QuantLib::Size nSteps=50, bool useQuadrature=false, bool useStochasticRecovery=false)
QuantLib::Real	expectedTrancheLoss (const QuantLib::Date &d, Real recoveryRate=Null< Real >()) const override
QuantLib::Real	percentile (const QuantLib::Date &d, QuantLib::Real percentile) const override
QuantLib::Real	expectedShortfall (const QuantLib::Date &d, QuantLib::Probability percentile) const override
QuantLib::Real	correlation () const override
std::vector< std::vector< Real > >	marginalProbabilitiesVV (Date d, Real recoveryRate=Null< Real >()) const

Additional Inherited Members
virtual Real	expectedTrancheLoss (const Date &d, Real recoveryRate=Null< Real >()) const
virtual Probability	probOverLoss (const Date &d, Real lossFraction) const
virtual Real	percentile (const Date &d, Real percentile) const
	Value at Risk given a default loss percentile.
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
Protected Attributes inherited from DefaultLossModel
RelinkableHandle< QuantExt::Basket >	basket_

Detailed Description

template<class CopulaPolicy>
class QuantExt::PoolLossModel< CopulaPolicy >

Default loss distribution convolution for finite homogeneous or non-homogeneous pool

Member Function Documentation

template<class CopulaPolicy>

QuantLib::Real correlation ( ) const

overridevirtual

Return single correlation number for one factor models. If not implemented or not applicable, returns a Null<Real>().

Reimplemented from DefaultLossModel.