QuantLib: RandomDefaultLM< copulaPolicy, USNG > Class Template Reference

A free/open-source library for quantitative finance Reference manual - version 1.20

Public Member Functions | Protected Member Functions | Friends | List of all members
RandomDefaultLM< copulaPolicy, USNG > Class Template Reference

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

## Public Member Functions
| 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)
| RandomDefaultLM (const ext::shared_ptr< ConstantLossLatentmodel< copulaPolicy > > &model, Size nSims=0, Real accuracy=1.e-6, BigNatural seed=2863311530UL)

## Protected Member Functions
void | nextSample (const std::vector< Real > &values) const
void | initDates () const
Real | getEventRecovery (const defaultSimEvent &evt) const
Real | expectedRecovery (const Date &, Size iName, const DefaultProbKey &) const
Real | latentVarValue (const std::vector< Real > &factorsSample, Size iVar) const
Size | basketSize () const

## Friends
class | RandomLM< ::QuantLib::RandomDefaultLM, copulaPolicy, USNG >

## Detailed Description

### 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.

Examples
  BasketLosses.cpp, and LatentModel.cpp.