basket tranched inception attachment amount:
The claim is the same for all names
basket tranched inception detachment amount:
Caches. Most of the times one wants statistics on the distribution of futures losses at arbitrary dates but some problems (e.g. derivatives pricing) work with todays (evalDate) magnitudes which do not require a loss model and would be too expensive to recompute on every call.
It is the basket responsibility to ensure that the model assigned it is properly initialized to the basket current data. This might not be the case for various reasons: the basket data might have been updated, the evaluation date has changed or the model has received another request from another basket pointing to it. For this last reason we can never be sure between calls that this is the case (and that is true in a single thread environment only).
Basket inception date.
basket tranched notional amount:
This method causes the object to forward all notifications, even when not calculated. The default behavior is to forward the first notification received, and discard the others until recalculated; the rationale is that observers were already notified, and don't need further notification until they recalculate, at which point this object would be recalculated too. After recalculation, this object would again forward the first notification received.
warning Forwarding all notifications will cause a performance hit, and should be used only when discarding notifications cause an incorrect behavior.
This method performs all needed calculations by calling
the performCalculations method.
warning Objects cache the results of the previous
calculation. Such results will be returned upon
later invocations of
calculate. When the results depend
on arguments which could change between
invocations, the lazy object must register itself
as observer of such objects for the calculations
to be performed again when they change.
warning Should this method be redefined in derived classes, LazyObject.calculate() should be called in the overriding method.
default claim, same for all positions and counterparties
Actual basket losses between the reference date and the calculation date, taking the actual recovery rates of loss events into account. If the event has not settled yet a model driven recovery is used.
Returns the realized losses in this portfolio since the portfolio default reference date. This method relies on an implementation of the loss given default since the events have not necessarily settled.
Basket Loss Statistics
Methods providing statistical metrics on the loss or value distribution of the basket. Most calculations rely on the pressence of a model assigned to the basket.
This method constrains the object to return the presently cached results on successive invocations, even if arguments upon which they depend should change.
Indexes of remaining names. Notice these are names and not positions.
Full loss distribution
Returns the probaility of having a given or larger number of defaults in the basket portfolio at a given time.
The lossFraction is the fraction of losses expressed in inception (no losses) tranche units (e.g. 'attach level'=0%, 'detach level'=100%)
Vector of cumulative default probability to date d for all issuers in the basket.
Probability vector that each of the remaining live names (at eval date) is the n-th default by date d.
The n parameter is the internal index to the name; it should be alive at the evaluation date.
This method force the recalculation of any results which
would otherwise be cached. It is not declared as
const since it needs to call the
non-const notifyObservers method.
note Explicit invocation of this method is not necessary if the object registered itself as observer with the structures on which such results depend. It is strongly advised to follow this policy when possible.
Attachment amount of the equivalent (after defaults) remaining basket The remaining attachment amount is RAA = max (0, attachmentAmount - cumulatedLoss())
The remaining attachment ratio is then RAR = RAA / remainingNotional()
Default keys of non defaulted counterparties
Detachment amount of the equivalent remaining basket. The remaining detachment amount is RDA = max (0, detachmentAmount - cumulatedLoss())
The remaining detachment ratio is then RDR = RDA / remainingNotional()
Vector of surviving issuers after defaults between the reference basket date and the given (or evaluation) date.
Remaining full basket (untranched) notional after settled losses between the reference date and the given date. The full notional for defaulted names is subracted, recovery ignored.
Vector of surviving notionals after settled losses between the reference date and the given date, recovery ignored.
Vector of cumulative default probability to date d for all issuers still (at the evaluation date) alive in the basket.
Number of counterparties alive on the requested date.
Remaining basket tranched notional on calculation date
Expected basket tranched notional on the requested date according to the basket model. Model should have been assigned.
Assigns the default loss model to this basket. Resets calculations.
Realized basket losses between the reference date and the calculation date, taking the actual recovery rates of loss events into account. Only default events that have settled (have a realized RR) are accounted for. For contingent losses after a default you need to compute the losses through a DefaultLossModel
Optionally one can pass a date in the future and that will collect events stored in the issuers list. This shows the effect of 'programmed' (after today's) events on top of past ones. The intention is to be used in risk analysis (jump to default, etc).
This method reverts the effect of the freeze
method, thus re-enabling recalculations.
Credit Basket
A basket is a collection of credit names, represented by a unique identifier (a text string), associated notional amounts, a pool and tranche information. The pool is a map of "names" to issuers. The Basket structure is motivated by CDO squared instruments containing various underlying inner CDOs which can be represented by respective baskets including their tranche structure. The role of the Pool is providing a unique list of relevant issuers while names may appear multiple times across different baskets (overlap).