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void | nextSample (const std::vector< Real > &values) const |
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void | initDates () const |
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Real | getEventRecovery (const defaultSimEvent &evt) const |
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Real | latentVarValue (const std::vector< Real > &factorsSample, Size iVar) const |
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Size | basketSize () const |
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Real | conditionalRecovery (Real latentVarSample, Size iName, const Date &d) const |
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Protected Member Functions inherited from RandomLM< RandomLossLM, copulaPolicy, USNG > |
| RandomLM (Size numFactors, Size numLMVars, const copulaPolicy &copula, Size nSims, BigNatural seed) |
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void | update () |
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void | performCalculations () const |
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void | performSimulations () const |
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const std::vector< simEvent< RandomLossLM< copulaPolicy, USNG > > > & | getSim (const Size iSim) const |
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Real | getEventRecovery (const simEvent< RandomLossLM< copulaPolicy, USNG > > &evt) const |
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virtual Probability | probAtLeastNEvents (Size n, const Date &d) const |
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virtual Disposable< std::vector< Probability > > | probsBeingNthEvent (Size n, const Date &d) const |
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virtual Real | defaultCorrelation (const Date &d, Size iName, Size jName) const |
| Pearsons' default probability correlation.
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virtual Real | expectedTrancheLoss (const Date &d) const |
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virtual std::pair< Real, Real > | expectedTrancheLossInterval (const Date &d, Probability confidencePerc) const |
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virtual Disposable< std::map< Real, Probability > > | lossDistribution (const Date &d) const |
| Full loss distribution.
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virtual Histogram | computeHistogram (const Date &d) const |
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virtual Real | expectedShortfall (const Date &d, Real percent) const |
| Expected shortfall given a default loss percentile.
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virtual Real | percentile (const Date &d, Real percentile) const |
| Value at Risk given a default loss percentile.
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virtual boost::tuples::tuple< Real, Real, Real > | percentileAndInterval (const Date &d, Real percentile) const |
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virtual Disposable< std::vector< Real > > | splitVaRLevel (const Date &date, Real loss) const |
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virtual Disposable< std::vector< std::vector< Real > > > | splitVaRAndError (const Date &date, Real loss, Probability confInterval) const |
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virtual void | calculate () const |
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virtual Probability | probOverLoss (const Date &d, Real lossFraction) const |
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virtual Disposable< std::vector< Real > > | splitESFLevel (const Date &d, Real loss) const |
| Associated ESF fraction to each counterparty.
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virtual Real | densityTrancheLoss (const Date &d, Real lossFraction) const |
| Probability density of a given loss fraction of the basket notional.
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virtual Real | expectedRecovery (const Date &, Size iName, const DefaultProbKey &) const |
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template<class copulaPolicy, class USNG = SobolRsg>
class QuantLib::RandomLossLM< copulaPolicy, USNG >
Random spot recovery rate loss model simulation for an arbitrary copula.