GaussianLHPFlatBCLM | quantlib.js

Hierarchy

BaseCorrelationLossModel
- GaussianLHPFlatBCLM

Implements

Index

Constructors

constructor

Methods

Constructors

constructor

new GaussianLHPFlatBCLM(): GaussianLHPFlatBCLM

Overrides BaseCorrelationLossModel.constructor
- Defined in ql/experimental/credit/basecorrelationlossmodel.ts:246
Returns GaussianLHPFlatBCLM

Properties

BaseModel_T

BaseModel_T: any

Corr2DInt_T

Corr2DInt_T: Interpolator2D

_basket

_basket: RelinkableHandle<Basket> = new RelinkableHandle()

_copulaTraits

_copulaTraits: any

_isDisposed

_isDisposed: boolean = false

_observables

_observables: Set<Observable> = new Set()

_observers

_observers: Set<Observer> = new Set()

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

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

expectedRecovery

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

Type declaration

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

expectedShortfall

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

Type declaration

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

isDisposed

isDisposed: boolean

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

percentile

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

Type declaration

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

probAtLeastNEvents

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

Type declaration

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

probOverLoss

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

Type declaration

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

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

bclmInit

bclmInit(correlTS: Handle<BaseCorrelationTermStructure>, recoveries: Real[], traits?: any): BaseCorrelationLossModel

Inherited from BaseCorrelationLossModel.bclmInit
- Defined in ql/experimental/credit/basecorrelationlossmodel.ts:88
Parameters
- correlTS: Handle<BaseCorrelationTermStructure>
- recoveries: Real[]
- Default value traits: any = null
Returns BaseCorrelationLossModel

expectedTrancheLoss

expectedTrancheLoss(d: Date): Real

Inherited from BaseCorrelationLossModel.expectedTrancheLoss

Overrides DefaultLossModelObserver.expectedTrancheLoss
- Defined in ql/experimental/credit/basecorrelationlossmodel.ts:203
Remember ETL returns the EL on the live part of the basket.

Parameters
- d: Date
Returns Real

resetModel

resetModel(): void

Inherited from BaseCorrelationLossModel.resetModel

Overrides DefaultLossModelObserver.resetModel
- Defined in ql/experimental/credit/basecorrelationlossmodel.ts:112
Returns void

setupModels

setupModels(): void

Inherited from BaseCorrelationLossModel.setupModels
- Defined in ql/experimental/credit/basecorrelationlossmodel.ts:136
Returns void

update

update(): void

Inherited from BaseCorrelationLossModel.update

Overrides DefaultLossModelObserver.update
- Defined in ql/experimental/credit/basecorrelationlossmodel.ts:104
Returns void

Hierarchy

Implements

Index

Constructors

Properties

Methods

Constructors

constructor

Returns GaussianLHPFlatBCLM

Properties

BaseModel_T

Corr2DInt_T

_basket

_copulaTraits

_isDisposed

_observables

_observers

deepUpdate

Type declaration

Returns void

defaultCorrelation

Type declaration

Parameters

d: Date

iName: Size

jName: Size

Returns Real

densityTrancheLoss

Type declaration

Parameters

d: Date

lossFraction: Real

Returns Real

dispose

Type declaration

Returns void

expectedRecovery

Type declaration

Parameters

d: Date

iName: Size

key: DefaultProbKey

Returns Real

expectedShortfall

Type declaration

Parameters

d: Date

percentile: Real

Returns Real

isDisposed

lossDistribution

Type declaration

Parameters

d: Date

Returns Map<Real, Probability>

notifyObservers

Type declaration

Returns void

percentile

Type declaration

Parameters

d: Date

percentile: Real

Returns Real

probAtLeastNEvents

Type declaration

Parameters

n: Size

d: Date

Returns Probability

probOverLoss

Type declaration

Parameters

d: Date

lossFraction: Real

Returns Probability

probsBeingNthEvent

Type declaration

Parameters

n: Size