QuantLib: ConstantLossLatentmodel< copulaPolicy > Class Template Reference

A free/open-source library for quantitative finance Reference manual - version 1.12

Public Member Functions | List of all members
ConstantLossLatentmodel< copulaPolicy > Class Template Reference

`#include <ql/experimental/credit/constantlosslatentmodel.hpp>`

Inheritance diagram for ConstantLossLatentmodel< copulaPolicy >:
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## Public Member Functions
| ConstantLossLatentmodel (const std::vector< std::vector< Real > > &factorWeights, const std::vector< Real > &recoveries, LatentModelIntegrationType::LatentModelIntegrationType integralType, const initTraits &ini=initTraits())
| ConstantLossLatentmodel (const Handle< Quote > &mktCorrel, const std::vector< Real > &recoveries, LatentModelIntegrationType::LatentModelIntegrationType integralType, Size nVariables, const initTraits &ini=initTraits())
Real | conditionalRecovery (const Date &d, Size iName, const std::vector< Real > &mktFactors) const
Real | conditionalRecovery (Probability uncondDefP, Size iName, const std::vector< Real > &mktFactors) const
Real | conditionalRecoveryInvP (Real invUncondDefP, Size iName, const std::vector< Real > &mktFactors) const
Real | conditionalRecovery (Real latentVarSample, Size iName, const Date &d) const
const std::vector< Real > & | recoveries () const
Real | expectedRecovery (const Date &d, Size iName, const DefaultProbKey &defKeys) const
Public Member Functions inherited from DefaultLatentModel< copulaPolicy >
| DefaultLatentModel (const std::vector< std::vector< Real > > &factorWeights, LatentModelIntegrationType::LatentModelIntegrationType integralType, const initTraits &ini=initTraits())
| DefaultLatentModel (const Handle< Quote > &mktCorrel, Size nVariables, LatentModelIntegrationType::LatentModelIntegrationType integralType, const initTraits &ini=initTraits())
void | resetBasket (const boost::shared_ptr< Basket > basket) const
Probability | conditionalDefaultProbability (Probability prob, Size iName, const std::vector< Real > &mktFactors) const
Probability | conditionalDefaultProbabilityInvP (Real invCumYProb, Size iName, const std::vector< Real > &m) const
Probability | probOfDefault (Size iName, const Date &d) const
Real | defaultCorrelation (const Date &d, Size iNamei, Size iNamej) const
Probability | probAtLeastNEvents (Size n, const Date &date) const
Public Member Functions inherited from LatentModel< copulaPolicy >
void | update ()
Real | latentVarValue (const std::vector< Real > &allFactors, Size iVar) const
const copulaType & | copula () const
Size | size () const
Size | numFactors () const
| Number of systemic factors.
Size | numTotalFactors () const
| Number of total free random factors; systemic and idiosyncratic.
| LatentModel (const std::vector< std::vector< Real > > &factorsWeights, const typename copulaType::initTraits &ini=copulaType::initTraits())
| LatentModel (const std::vector< Real > &factorsWeight, const typename copulaType::initTraits &ini=copulaType::initTraits())
| LatentModel (const Real correlSqr, Size nVariables, const typename copulaType::initTraits &ini=copulaType::initTraits())
| LatentModel (const Handle< Quote > &singleFactorCorrel, Size nVariables, const typename copulaType::initTraits &ini=copulaType::initTraits())
const std::vector< std::vector< Real > > & | factorWeights () const
| Provides values of the factors \( a_{i,k} \).
const std::vector< Real > & | idiosyncFctrs () const
| Provides values of the normalized idiosyncratic factors \( Z_i \).
Real | latentVariableCorrel (Size iVar1, Size iVar2) const
| Latent variable correlations:
Probability | cumulativeY (Real val, Size iVariable) const
Probability | cumulativeZ (Real z) const
| Cumulative distribution of Z, the idiosyncratic/error factors.
Probability | density (const std::vector< Real > &m) const
| Density function of M, the market/systemic factors.
Real | inverseCumulativeDensity (Probability p, Size iFactor) const
| Inverse cumulative distribution of the systemic factor iFactor.
Real | inverseCumulativeY (Probability p, Size iVariable) const
Real | inverseCumulativeZ (Probability p) const
Disposable< std::vector< Real > > | allFactorCumulInverter (const std::vector< Real > &probs) const
Real | integratedExpectedValue (const boost::function< Real(const std::vector< Real > &v1)> &f) const
Disposable< std::vector< Real > > | integratedExpectedValue (const boost::function< Disposable< std::vector< Real > >(const std::vector< Real > &v1)> &f) const
Public Member Functions inherited from Observer
| Observer (const Observer &)
Observer & | operator= (const Observer &)
std::pair< iterator, bool > | registerWith (const boost::shared_ptr< Observable > &)
void | registerWithObservables (const boost::shared_ptr< Observer > &)
Size | unregisterWith (const boost::shared_ptr< Observable > &)
void | unregisterWithAll ()
virtual void | deepUpdate ()
Public Member Functions inherited from Observable
| Observable (const Observable &)
Observable & | operator= (const Observable &)
void | notifyObservers ()

## Additional Inherited Members
Public Types inherited from LatentModel< copulaPolicy >
typedef copulaPolicy | copulaType
Public Types inherited from Observer
typedef std::set< boost::shared_ptr< Observable > > | set_type
typedef set_type::iterator | iterator
Protected Member Functions inherited from DefaultLatentModel< copulaPolicy >
void | update ()
Probability | conditionalDefaultProbability (const Date &date, Size iName, const std::vector< Real > &mktFactors) const
Probability | condProbProduct (Real invCumYProb1, Real invCumYProb2, Size iName1, Size iName2, const std::vector< Real > &mktFactors) const
Real | conditionalProbAtLeastNEvents (Size n, const Date &date, const std::vector< Real > &mktFactors) const
| Conditional probability of n default events or more.
const boost::shared_ptr< LMIntegration > & | integration () const
| access to integration:
Protected Member Functions inherited from LatentModel< copulaPolicy >
Protected Attributes inherited from DefaultLatentModel< copulaPolicy >
boost::shared_ptr< Basket > | basket_
boost::shared_ptr< LMIntegration > | integration_
Protected Attributes inherited from LatentModel< copulaPolicy >
std::vector< std::vector< Real > > | factorWeights_
Handle< Quote > | cachedMktFactor_
std::vector< Real > | idiosyncFctrs_
Size | nFactors_
| Number of systemic factors.
Size | nVariables_
| Number of latent model variables, idiosyncratic terms or model dim.
copulaType | copula_

## Detailed Description

### template<class copulaPolicy>
class QuantLib::ConstantLossLatentmodel< copulaPolicy >

Constant deterministic loss amount default latent model. Integrable implementation.