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Distribution | lossDistrib (const Date &d) const |
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virtual Probability | probOverLoss (const Date &d, Real lossFraction) const |
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virtual Disposable< std::vector< Real > > | splitVaRLevel (const Date &d, Real loss) const |
| Associated VaR fraction to each counterparty.
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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 Disposable< std::map< Real, Probability > > | lossDistribution (const Date &) const |
| Full loss distribution.
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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 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 Probability | probAtLeastNEvents (Size n, const Date &d) const |
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virtual Real | expectedRecovery (const Date &, Size iName, const DefaultProbKey &) const |
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template<class copulaPolicy>
class QuantLib::InhomogeneousPoolLossModel< copulaPolicy >
Default loss distribution convolution for finite non homogeneous pool.