DefaultLossModelLazyObject

Hierarchy

DefaultLossModelLazyObject
- RandomLM

Implements

Index

Methods

Properties

_alwaysForward

_alwaysForward: boolean = false

_basket

_basket: RelinkableHandle<Basket> = new RelinkableHandle()

_calculated

_calculated: boolean = false

_frozen

_frozen: boolean = false

_isDisposed

_isDisposed: boolean = false

_observables

_observables: Set<Observable> = new Set()

_observers

_observers: Set<Observer> = new Set()

alwaysForwardNotifications

alwaysForwardNotifications: () => void

Type declaration

- (): void
- Returns void

calculate

calculate: () => void

Type declaration

- (): void
- Returns void

deepUpdate

deepUpdate: () => void

Type declaration

- (): void
- Returns void

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

freeze

freeze: () => void

Type declaration

- (): void
- Returns void

isDisposed

isDisposed: boolean

notifyObservers

notifyObservers: () => void

Type declaration

- (): void
- Returns void

probOverLoss

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

Type declaration

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

recalculate

recalculate: () => void

Type declaration

- (): void
- Returns void

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

splitESFLevel

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

Type declaration

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

unfreeze

unfreeze: () => void

Type declaration

- (): void
- Returns void

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/defaultlossmodellazyobject.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/defaultlossmodellazyobject.ts:59
Parameters
- d: Date
- iName: Size
- key: DefaultProbKey
Returns Real

expectedShortfall

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

- Defined in mixins/ql/experimental/defaultlossmodellazyobject.ts:39
Parameters
- d: Date
- percentile: Real
Returns Real

expectedTrancheLoss

expectedTrancheLoss(d: Date): Real

- Defined in mixins/ql/experimental/defaultlossmodellazyobject.ts:32
Parameters
- d: Date
Returns Real

lossDistribution

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

- Defined in mixins/ql/experimental/defaultlossmodellazyobject.ts:46
Parameters
- d: Date
Returns Map<Real, Probability>

percentile

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

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

performCalculations

performCalculations(): void

- Defined in mixins/ql/experimental/defaultlossmodellazyobject.ts:72
Returns void

probAtLeastNEvents

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

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

probsBeingNthEvent

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

- Defined in mixins/ql/experimental/defaultlossmodellazyobject.ts:50
Parameters
- n: Size
- d: Date
Returns Probability[]

resetModel

resetModel(): void

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

splitVaRLevel

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

- Defined in mixins/ql/experimental/defaultlossmodellazyobject.ts:42
Parameters
- d: Date
- loss: Real
Returns Real[]

update

update(): void

- Defined in mixins/ql/experimental/defaultlossmodellazyobject.ts:27
Returns void

Hierarchy

Implements

Index

Properties

Methods

Properties

_alwaysForward

_basket

_calculated

_frozen

_isDisposed

_observables

_observers

alwaysForwardNotifications

Type declaration

Returns void

calculate

Type declaration

Returns void

deepUpdate

Type declaration

Returns void

densityTrancheLoss

Type declaration

Parameters

d: Date

lossFraction: Real

Returns Real

dispose

Type declaration

Returns void

freeze

Type declaration

Returns void

isDisposed

notifyObservers

Type declaration

Returns void

probOverLoss

Type declaration

Parameters

d: Date

lossFraction: Real

Returns Probability

recalculate

Type declaration

Returns void

registerObserver

Type declaration

Parameters

o: Observer

Returns void

registerWith

Type declaration

Parameters

h: Observable

Returns void

registerWithObservables

Type declaration

Parameters

o: Observer

Returns void

setBasket

Type declaration

Parameters

bskt: Basket

Returns void

splitESFLevel

Type declaration

Parameters

d: Date

loss: Real

Returns Real[]

unfreeze

Type declaration

Returns void

unregisterObserver

Type declaration

Parameters

o: Observer