|
|
virtual Real | expectedTrancheLoss (const Date &d) 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 Disposable< std::vector< Real > > | splitVaRLevel (const Date &d, Real loss) const |
| Associated VaR fraction to each counterparty.
|
|
virtual Disposable< std::vector< Real > > | splitESFLevel (const Date &d, Real loss) const |
| Associated ESF fraction to each counterparty.
|
|
virtual Disposable< 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 Disposable< 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 |
|
Default loss model interface definition. Allows communication between the basket and specific algorithms. Intended to hold any kind of portfolio joint loss, latent models, top-down,....
An inconvenience of this design as opposed to the full arguments/results is that when pricing several derivatives instruments on the same basket not all the pricing engines would point to the same loss model; thus when pricing a set of such instruments there might be some switching on the basket loss models, which might require recalculations (of the basket) or not depending on the pricing order.