DefaultLossModelLatentModel

Hierarchy

DefaultLossModelLatentModel
- GaussianLHPLossModel

Implements

Index

Properties

Methods

Properties

_basket

_basket: RelinkableHandle<Basket> = new RelinkableHandle()

_cachedMktFactor

_cachedMktFactor: Handle<Quote>

_copula

_copula: any

_factorWeights

_factorWeights: Real[][]

_idiosyncFctrs

_idiosyncFctrs: Real[]

_isDisposed

_isDisposed: boolean = false

_nFactors

_nFactors: Size

_nVariables

_nVariables: Size

_observables

_observables: Set<Observable> = new Set()

_observers

_observers: Set<Observer> = new Set()

allFactorCumulInverter

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

Type declaration

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

defaultCorrelation

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

Type declaration

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

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

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

probAtLeastNEvents

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

Type declaration

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

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

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

expectedRecovery

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

- Defined in mixins/ql/experimental/defaultlossmodellatentmodel.ts:53
Parameters
- d: Date
- iName: Size
- key: DefaultProbKey
Returns Real

expectedShortfall

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

- Defined in mixins/ql/experimental/defaultlossmodellatentmodel.ts:43
Parameters
- d: Date
- percentile: Real
Returns Real

expectedTrancheLoss

expectedTrancheLoss(d: Date): Real

- Defined in mixins/ql/experimental/defaultlossmodellatentmodel.ts:34
Parameters
- d: Date
Returns Real

percentile

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

- Defined in mixins/ql/experimental/defaultlossmodellatentmodel.ts:40
Parameters
- d: Date
- percentile: Real
Returns Real

probOverLoss

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

- Defined in mixins/ql/experimental/defaultlossmodellatentmodel.ts:37
Parameters
- d: Date
- lossFraction: Real
Returns Probability

resetModel

resetModel(): void

- Defined in mixins/ql/experimental/defaultlossmodellatentmodel.ts:57
Returns void

update

update(): void

- Defined in mixins/ql/experimental/defaultlossmodellatentmodel.ts:29
Returns void

Hierarchy

Implements

Index

Properties

Methods

Properties

_basket

_cachedMktFactor

_copula

_factorWeights

_idiosyncFctrs

_isDisposed

_nFactors

_nVariables

_observables

_observers

allFactorCumulInverter

Type declaration

Parameters

probs: Real[]

Returns Real[]

copula

Type declaration

Returns any

copulaPolicy

cumulativeY

Type declaration

Parameters

val: Real

iVariable: Size

Returns Probability

cumulativeZ

Type declaration

Parameters

z: Real

Returns Probability

deepUpdate

Type declaration

Returns void

defaultCorrelation

Type declaration

Parameters

d: Date

iName: Size

jName: Size

Returns Real

density

Type declaration

Parameters

m: Real[]

Returns Probability

densityTrancheLoss

Type declaration

Parameters

d: Date

lossFraction: Real

Returns Real

dispose

Type declaration

Returns void

factorWeights

Type declaration

Returns Real[][]

idiosyncFctrs

Type declaration

Returns Real[]

init

Type declaration

Parameters

copulaPolicyImpl: any

Returns LatentModel

integratedExpectedValue1

Type declaration

Parameters

f: UnaryFunction<Real[], Real>

Returns Real

integratedExpectedValue2

Type declaration

Parameters

f: UnaryFunction<Real[], Real[]>