ConstantLossLatentmodelDefaultLossModel

Hierarchy

ConstantLossLatentmodelDefaultLossModel
- ConstantLossModel

Implements

Index

Properties

Methods

Properties

_basket

_basket: RelinkableHandle<Basket> = new RelinkableHandle()

_cachedMktFactor

_cachedMktFactor: Handle<Quote>

_copula

_copula: any

_factorWeights

_factorWeights: Real[][]

_idiosyncFctrs

_idiosyncFctrs: Real[]

_integration

_integration: LMIntegration

_isDisposed

_isDisposed: boolean = false

_nFactors

_nFactors: Size

_nVariables

_nVariables: Size

_observables

_observables: Set<Observable> = new Set()

_observers

_observers: Set<Observer> = new Set()

_recoveries

_recoveries: Real[]

allFactorCumulInverter

allFactorCumulInverter: (probs: Real[]) => Real[]

Type declaration

- (probs: Real[]): Real[]
- Parameters
  - probs: Real[]
  Returns Real[]

basket_

basket_: Basket

cllmInit1

cllmInit1: (factorWeights: Real[][], recoveries: Real[], integralType: LatentModelIntegrationType, ini?: any) => ConstantLossLatentmodel

Type declaration

- (factorWeights: Real[][], recoveries: Real[], integralType: LatentModelIntegrationType, ini?: any): ConstantLossLatentmodel
- Parameters
  - factorWeights: Real[][]
  - recoveries: Real[]
  - integralType: LatentModelIntegrationType
  - Optional ini: any
  Returns ConstantLossLatentmodel

cllmInit2

cllmInit2: (mktCorrel: Handle<Quote>, recoveries: Real[], integralType: LatentModelIntegrationType, nVariables: Size, ini?: any) => ConstantLossLatentmodel

Type declaration

- (mktCorrel: Handle<Quote>, recoveries: Real[], integralType: LatentModelIntegrationType, nVariables: Size, ini?: any): ConstantLossLatentmodel
- Parameters
  - mktCorrel: Handle<Quote>
  - recoveries: Real[]
  - integralType: LatentModelIntegrationType
  - nVariables: Size
  - Optional ini: any
  Returns ConstantLossLatentmodel

condProbProduct

condProbProduct: (invCumYProb1: Real, invCumYProb2: Real, iName1: Size, iName2: Size, mktFactors: Real[]) => Probability

Type declaration

- (invCumYProb1: Real, invCumYProb2: Real, iName1: Size, iName2: Size, mktFactors: Real[]): Probability
- Parameters
  - invCumYProb1: Real
  - invCumYProb2: Real
  - iName1: Size
  - iName2: Size
  - mktFactors: Real[]
  Returns Probability

conditionalDefaultProbability1

conditionalDefaultProbability1: (prob: Probability, iName: Size, mktFactors: Real[]) => Probability

Type declaration

- (prob: Probability, iName: Size, mktFactors: Real[]): Probability
- Parameters
  - prob: Probability
  - iName: Size
  - mktFactors: Real[]
  Returns Probability

conditionalDefaultProbability2

conditionalDefaultProbability2: (date: Date, iName: Size, mktFactors: Real[]) => Probability

Type declaration

- (date: Date, iName: Size, mktFactors: Real[]): Probability
- Parameters
  - date: Date
  - iName: Size
  - mktFactors: Real[]
  Returns Probability

conditionalDefaultProbabilityInvP

conditionalDefaultProbabilityInvP: (invCumYProb: Real, iName: Size, m: Real[]) => Probability

Type declaration

- (invCumYProb: Real, iName: Size, m: Real[]): Probability
- Parameters
  - invCumYProb: Real
  - iName: Size
  - m: Real[]
  Returns Probability

conditionalProbAtLeastNEvents

conditionalProbAtLeastNEvents: (n: Size, date: Date, mktFactors: Real[]) => Real

Type declaration

- (n: Size, date: Date, mktFactors: Real[]): Real
- Parameters
  - n: Size
  - date: Date
  - mktFactors: Real[]
  Returns Real

conditionalRecovery1

conditionalRecovery1: (d: Date, iName: Size, mktFactors: Real[]) => Real

Type declaration

- (d: Date, iName: Size, mktFactors: Real[]): Real
- Parameters
  - d: Date
  - iName: Size
  - mktFactors: Real[]
  Returns Real

conditionalRecovery2

conditionalRecovery2: (uncondDefP: Probability, iName: Size, mktFactors: Real[]) => Real

Type declaration

- (uncondDefP: Probability, iName: Size, mktFactors: Real[]): Real
- Parameters
  - uncondDefP: Probability
  - iName: Size
  - mktFactors: Real[]
  Returns Real

conditionalRecovery3

conditionalRecovery3: (latentVarSample: Real, iName: Size, d: Date) => Real

Type declaration

- (latentVarSample: Real, iName: Size, d: Date): Real
- Parameters
  - latentVarSample: Real
  - iName: Size
  - d: Date
  Returns Real

conditionalRecoveryInvP

conditionalRecoveryInvP: (invUncondDefP: Real, iName: Size, mktFactors: Real[]) => Real

Type declaration

- (invUncondDefP: Real, iName: Size, mktFactors: Real[]): Real
- Parameters
  - invUncondDefP: Real
  - iName: Size
  - mktFactors: Real[]
  Returns Real

copula

copula: () => any

Type declaration

- (): any
- Returns any

copulaPolicy

copulaPolicy: any

cumulativeY

cumulativeY: (val: Real, iVariable: Size) => Probability

Type declaration

- (val: Real, iVariable: Size): Probability
- Parameters
  - val: Real
  - iVariable: Size
  Returns Probability

cumulativeZ

cumulativeZ: (z: Real) => Probability

Type declaration

- (z: Real): Probability
- Parameters
  - z: Real
  Returns Probability

deepUpdate

deepUpdate: () => void

Type declaration

- (): void
- Returns void

density

density: (m: Real[]) => Probability

Type declaration

- (m: Real[]): Probability
- Parameters
  - m: Real[]
  Returns Probability

densityTrancheLoss

densityTrancheLoss: (d: Date, lossFraction: Real) => Real

Type declaration

- (d: Date, lossFraction: Real): Real
- Parameters
  - d: Date
  - lossFraction: Real
  Returns Real

dispose

dispose: () => void

Type declaration

- (): void
- Returns void

dlmInit1

dlmInit1: (factorWeights: Real[][], integralType: LatentModelIntegrationType, ini?: any) => DefaultLatentModel

Type declaration

- (factorWeights: Real[][], integralType: LatentModelIntegrationType, ini?: any): DefaultLatentModel
- Parameters
  - factorWeights: Real[][]
  - integralType: LatentModelIntegrationType
  - Optional ini: any
  Returns DefaultLatentModel

dlmInit2

dlmInit2: (mktCorrel: Handle<Quote>, nVariables: Size, integralType: LatentModelIntegrationType, ini?: any) => DefaultLatentModel

Type declaration

- (mktCorrel: Handle<Quote>, nVariables: Size, integralType: LatentModelIntegrationType, ini?: any): DefaultLatentModel
- Parameters
  - mktCorrel: Handle<Quote>
  - nVariables: Size
  - integralType: LatentModelIntegrationType
  - Optional ini: any
  Returns DefaultLatentModel

factorWeights

factorWeights: () => Real[][]

Type declaration

- (): Real[][]
- Returns Real[][]

idiosyncFctrs

idiosyncFctrs: () => Real[]

Type declaration

- (): Real[]
- Returns Real[]

init

init: (copulaPolicyImpl: any) => LatentModel

Type declaration

- (copulaPolicyImpl: any): LatentModel
- Parameters
  - copulaPolicyImpl: any
  Returns LatentModel

integratedExpectedValue1

integratedExpectedValue1: (f: UnaryFunction<Real[], Real>) => Real

Type declaration

- (f: UnaryFunction<Real[], Real>): Real
- Parameters
  - f: UnaryFunction<Real[], Real>
  Returns Real

integratedExpectedValue2

integratedExpectedValue2: (f: UnaryFunction<Real[], Real[]>) => Real[]

Type declaration

- (f: UnaryFunction<Real[], Real[]>): Real[]
- Parameters
  - f: UnaryFunction<Real[], Real[]>
  Returns Real[]

integration

integration: () => LMIntegration

Type declaration

- (): LMIntegration
- Returns LMIntegration

inverseCumulativeDensity

inverseCumulativeDensity: (p: Probability, iFactor: Size) => Real

Type declaration

- (p: Probability, iFactor: Size): Real
- Parameters
  - p: Probability
  - iFactor: Size
  Returns Real

inverseCumulativeY

inverseCumulativeY: (p: Probability, iVariable: Size) => Real

Type declaration

- (p: Probability, iVariable: Size): Real
- Parameters
  - p: Probability
  - iVariable: Size
  Returns Real

inverseCumulativeZ

inverseCumulativeZ: (p: Probability) => Real

Type declaration

- (p: Probability): Real
- Parameters
  - p: Probability
  Returns Real

isDisposed

isDisposed: boolean

latentVarValue

latentVarValue: (allFactors: Real[], iVar: Size) => Real

Type declaration

- (allFactors: Real[], iVar: Size): Real
- Parameters
  - allFactors: Real[]
  - iVar: Size
  Returns Real

latentVariableCorrel

latentVariableCorrel: (iVar1: Size, iVar2: Size) => Real

Type declaration

- (iVar1: Size, iVar2: Size): Real
- Parameters
  - iVar1: Size
  - iVar2: Size
  Returns Real

lmInit1

lmInit1: (factorsWeights: Real[][], ini?: any) => LatentModel

Type declaration

- (factorsWeights: Real[][], ini?: any): LatentModel
- Parameters
  - factorsWeights: Real[][]
  - Optional ini: any
  Returns LatentModel

lmInit2

lmInit2: (factorsWeight: Real[], ini?: any) => LatentModel

Type declaration

- (factorsWeight: Real[], ini?: any): LatentModel
- Parameters
  - factorsWeight: Real[]
  - Optional ini: any
  Returns LatentModel

lmInit3

lmInit3: (correlSqr: Real, nVariables: Size, ini?: any) => LatentModel

Type declaration

- (correlSqr: Real, nVariables: Size, ini?: any): LatentModel
- Parameters
  - correlSqr: Real
  - nVariables: Size
  - Optional ini: any
  Returns LatentModel

lmInit4

lmInit4: (singleFactorCorrel: Handle<Quote>, nVariables: Size, ini?: any) => LatentModel

Type declaration

- (singleFactorCorrel: Handle<Quote>, nVariables: Size, ini?: any): LatentModel
- Parameters
  - singleFactorCorrel: Handle<Quote>
  - nVariables: Size
  - Optional ini: any
  Returns LatentModel

lossDistribution

lossDistribution: (d: Date) => Map<Real, Probability>

Type declaration

- (d: Date): Map<Real, Probability>
- Parameters
  - d: Date
  Returns Map<Real, Probability>

notifyObservers

notifyObservers: () => void

Type declaration

- (): void
- Returns void

numFactors

numFactors: () => Size

Type declaration

- (): Size
- Returns Size

numTotalFactors

numTotalFactors: () => Size

Type declaration

- (): Size
- Returns Size

probOfDefault

probOfDefault: (iName: Size, d: Date) => Probability

Type declaration

- (iName: Size, d: Date): Probability
- Parameters
  - iName: Size
  - d: Date
  Returns Probability

probsBeingNthEvent

probsBeingNthEvent: (n: Size, d: Date) => Probability[]

Type declaration

- (n: Size, d: Date): Probability[]
- Parameters
  - n: Size
  - d: Date
  Returns Probability[]

recoveries

recoveries: () => Real[]

Type declaration

- (): Real[]
- Returns Real[]

registerObserver

registerObserver: (o: Observer) => void

Type declaration

- (o: Observer): void
- Parameters
  - o: Observer
  Returns void

registerWith

registerWith: (h: Observable) => void

Type declaration

- (h: Observable): void
- Parameters
  - h: Observable
  Returns void

registerWithObservables

registerWithObservables: (o: Observer) => void

Type declaration

- (o: Observer): void
- Parameters
  - o: Observer
  Returns void

resetBasket

resetBasket: (basket: Basket) => void

Type declaration

- (basket: Basket): void
- Parameters
  - basket: Basket
  Returns void

setBasket

setBasket: (bskt: Basket) => void

Type declaration

- (bskt: Basket): void
- Parameters
  - bskt: Basket
  Returns void

size

size: () => Size

Type declaration

- (): Size
- Returns Size

splitESFLevel

splitESFLevel: (d: Date, loss: Real) => Real[]

Type declaration

- (d: Date, loss: Real): Real[]
- Parameters
  - d: Date
  - loss: Real
  Returns Real[]

splitVaRLevel

splitVaRLevel: (d: Date, loss: Real) => Real[]

Type declaration

- (d: Date, loss: Real): Real[]
- Parameters
  - d: Date
  - loss: Real
  Returns Real[]

unregisterObserver

unregisterObserver: (o: Observer) => void

Type declaration

- (o: Observer): void
- Parameters
  - o: Observer
  Returns void

unregisterWith

unregisterWith: (h: Observable) => Size

Type declaration

- (h: Observable): Size
- Parameters
  - h: Observable
  Returns Size

unregisterWithAll

unregisterWithAll: () => void

Type declaration

- (): void
- Returns void

Methods

defaultCorrelation

defaultCorrelation(d: Date, iName: Size, jName: Size): Real

- Defined in mixins/ql/experimental/constantlosslatentmodeldefaultlossmodel.ts:53
Parameters
- d: Date
- iName: Size
- jName: Size
Returns Real

expectedRecovery

expectedRecovery(d: Date, iName: Size, key: DefaultProbKey): Real

- Defined in mixins/ql/experimental/constantlosslatentmodeldefaultlossmodel.ts:59
Parameters
- d: Date
- iName: Size
- key: DefaultProbKey
Returns Real

expectedShortfall

expectedShortfall(d: Date, percentile: Real): Real

- Defined in mixins/ql/experimental/constantlosslatentmodeldefaultlossmodel.ts:45
Parameters
- d: Date
- percentile: Real
Returns Real

expectedTrancheLoss

expectedTrancheLoss(d: Date): Real

- Defined in mixins/ql/experimental/constantlosslatentmodeldefaultlossmodel.ts:36
Parameters
- d: Date
Returns Real

percentile

percentile(d: Date, percentile: Real): Real

- Defined in mixins/ql/experimental/constantlosslatentmodeldefaultlossmodel.ts:42
Parameters
- d: Date
- percentile: Real
Returns Real

probAtLeastNEvents

probAtLeastNEvents(n: Size, d: Date): Probability

- Defined in mixins/ql/experimental/constantlosslatentmodeldefaultlossmodel.ts:56
Parameters
- n: Size
- d: Date
Returns Probability

probOverLoss

probOverLoss(d: Date, lossFraction: Real): Probability

- Defined in mixins/ql/experimental/constantlosslatentmodeldefaultlossmodel.ts:39
Parameters
- d: Date
- lossFraction: Real
Returns Probability

resetModel

resetModel(): void

- Defined in mixins/ql/experimental/constantlosslatentmodeldefaultlossmodel.ts:63
Returns void

update

update(): void

- Defined in mixins/ql/experimental/constantlosslatentmodeldefaultlossmodel.ts:31
Returns void

Hierarchy

Implements

Index

Properties

Methods

Properties

_basket

_cachedMktFactor

_copula

_factorWeights

_idiosyncFctrs

_integration

_isDisposed

_nFactors

_nVariables

_observables

_observers

_recoveries

allFactorCumulInverter

Type declaration

Parameters

probs: Real[]

Returns Real[]

basket_

cllmInit1

Type declaration

Parameters

factorWeights: Real[][]

recoveries: Real[]

integralType: LatentModelIntegrationType

Optional ini: any

Returns ConstantLossLatentmodel

cllmInit2

Type declaration

Parameters

mktCorrel: Handle<Quote>

recoveries: Real[]

integralType: LatentModelIntegrationType

nVariables: Size

Optional ini: any

Returns ConstantLossLatentmodel

condProbProduct

Type declaration

Parameters

invCumYProb1: Real

invCumYProb2: Real

iName1: Size

iName2: Size

mktFactors: Real[]

Returns Probability

conditionalDefaultProbability1

Type declaration

Parameters

prob: Probability

iName: Size

mktFactors: Real[]

Returns Probability

conditionalDefaultProbability2

Type declaration

Parameters

date: Date

iName: Size

mktFactors: Real[]

Returns Probability

conditionalDefaultProbabilityInvP

Type declaration

Parameters

invCumYProb: Real

iName: Size

m: Real[]

Returns Probability

conditionalProbAtLeastNEvents

Type declaration

Parameters

n: Size

date: Date

mktFactors: Real[]

Returns Real

conditionalRecovery1

Type declaration