ConstantLossLatentmodel

Constant deterministic loss amount default latent model. Integrable implementation.

todo:: Several options: Refer to a set of individual RR models, have quotes to RRs (registered)

Hierarchy

DefaultLatentModel
- ConstantLossLatentmodel
  - GaussianConstantLossLM
  - TConstantLossLM

Implements

Implemented by

Index

Constructors

constructor

Methods

Constructors

constructor

new ConstantLossLatentmodel(copulaPolicy: any): ConstantLossLatentmodel

Overrides DefaultLatentModel.constructor
- Defined in ql/experimental/credit/constantlosslatentmodel.ts:23
Parameters
- copulaPolicy: any
Returns ConstantLossLatentmodel

Properties

_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[]

basket_

basket_: Basket

copulaPolicy

copulaPolicy: any

dispose

dispose: () => void

Type declaration

- (): void
- Returns void

isDisposed

isDisposed: boolean

notifyObservers

notifyObservers: () => 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

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

allFactorCumulInverter

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

Inherited from LatentModel.allFactorCumulInverter
- Defined in ql/experimental/math/latentmodel.ts:404
Parameters
- probs: Real[]
Returns Real[]

cllmInit1

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

- Defined in ql/experimental/credit/constantlosslatentmodel.ts:30
Parameters
- factorWeights: Real[][]
- recoveries: Real[]
- integralType: LatentModelIntegrationType
- ini: any
Returns ConstantLossLatentmodel

cllmInit2

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

- Defined in ql/experimental/credit/constantlosslatentmodel.ts:44
Parameters
- mktCorrel: Handle<Quote>
- recoveries: Real[]
- integralType: LatentModelIntegrationType
- nVariables: Size
- Default value ini: any = null
Returns ConstantLossLatentmodel

condProbProduct

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

Inherited from DefaultLatentModel.condProbProduct
- Defined in ql/experimental/credit/defaultprobabilitylatentmodel.ts:122
Parameters
- invCumYProb1: Real
- invCumYProb2: Real
- iName1: Size
- iName2: Size
- mktFactors: Real[]
Returns Probability

conditionalDefaultProbability1

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

Inherited from DefaultLatentModel.conditionalDefaultProbability1
- Defined in ql/experimental/credit/defaultprobabilitylatentmodel.ts:70
Parameters
- prob: Probability
- iName: Size
- mktFactors: Real[]
Returns Probability

conditionalDefaultProbability2

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

Inherited from DefaultLatentModel.conditionalDefaultProbability2
- Defined in ql/experimental/credit/defaultprobabilitylatentmodel.ts:90
Parameters
- date: Date
- iName: Size
- mktFactors: Real[]
Returns Probability

conditionalDefaultProbabilityInvP

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

Inherited from DefaultLatentModel.conditionalDefaultProbabilityInvP
- Defined in ql/experimental/credit/defaultprobabilitylatentmodel.ts:108
Parameters
- invCumYProb: Real
- iName: Size
- m: Real[]
Returns Probability

conditionalProbAtLeastNEvents

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

Inherited from DefaultLatentModel.conditionalProbAtLeastNEvents
- Defined in ql/experimental/credit/defaultprobabilitylatentmodel.ts:131
Parameters
- n: Size
- date: Date
- mktFactors: Real[]
Returns Real

conditionalRecovery1

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

- Defined in ql/experimental/credit/constantlosslatentmodel.ts:57
Parameters
- d: Date
- iName: Size
- mktFactors: Real[]
Returns Real

conditionalRecovery2

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

- Defined in ql/experimental/credit/constantlosslatentmodel.ts:61
Parameters
- uncondDefP: Probability
- iName: Size
- mktFactors: Real[]
Returns Real

conditionalRecovery3

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

- Defined in ql/experimental/credit/constantlosslatentmodel.ts:71
Parameters
- latentVarSample: Real
- iName: Size
- d: Date
Returns Real

conditionalRecoveryInvP

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

- Defined in ql/experimental/credit/constantlosslatentmodel.ts:66
Parameters
- invUncondDefP: Real
- iName: Size
- mktFactors: Real[]
Returns Real

copula

copula(): any

Inherited from LatentModel.copula
- Defined in ql/experimental/math/latentmodel.ts:416
Returns any

cumulativeY

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

Inherited from LatentModel.cumulativeY
- Defined in ql/experimental/math/latentmodel.ts:375
Parameters
- val: Real
- iVariable: Size
Returns Probability

cumulativeZ

cumulativeZ(z: Real): Probability

Inherited from LatentModel.cumulativeZ
- Defined in ql/experimental/math/latentmodel.ts:379
Parameters
- z: Real
Returns Probability

deepUpdate

deepUpdate(): void

Inherited from ObserverObservable.deepUpdate
- Defined in mixins/ql/patterns/observerobservable.ts:23
Returns void

defaultCorrelation

defaultCorrelation(d: Date, iNamei: Size, iNamej: Size): Real

Inherited from DefaultLatentModel.defaultCorrelation
- Defined in ql/experimental/credit/defaultprobabilitylatentmodel.ts:202
Parameters
- d: Date
- iNamei: Size
- iNamej: Size
Returns Real

density

density(m: Real[]): Probability

Inherited from LatentModel.density
- Defined in ql/experimental/math/latentmodel.ts:383
Parameters
- m: Real[]
Returns Probability

dlmInit1

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

Inherited from DefaultLatentModel.dlmInit1
- Defined in ql/experimental/credit/defaultprobabilitylatentmodel.ts:40
Parameters
- factorWeights: Real[][]
- integralType: LatentModelIntegrationType
- Default value ini: any = null
Returns DefaultLatentModel

dlmInit2

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

Inherited from DefaultLatentModel.dlmInit2
- Defined in ql/experimental/credit/defaultprobabilitylatentmodel.ts:51
Parameters
- mktCorrel: Handle<Quote>
- nVariables: Size
- integralType: LatentModelIntegrationType
- Default value ini: any = null
Returns DefaultLatentModel

expectedRecovery

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

- Defined in ql/experimental/credit/constantlosslatentmodel.ts:79
Parameters
- d: Date
- iName: Size
- defKeys: DefaultProbKey
Returns Real

factorWeights

factorWeights(): Real[][]

Inherited from LatentModel.factorWeights
- Defined in ql/experimental/math/latentmodel.ts:337
Returns Real[][]

idiosyncFctrs

idiosyncFctrs(): Real[]

Inherited from LatentModel.idiosyncFctrs
- Defined in ql/experimental/math/latentmodel.ts:341
Returns Real[]

init

init(copulaPolicyImpl: any): LatentModel

Inherited from LatentModel.init
- Defined in ql/experimental/math/latentmodel.ts:246
Parameters
- copulaPolicyImpl: any
Returns LatentModel

integratedExpectedValue1

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

Inherited from LatentModel.integratedExpectedValue1
- Defined in ql/experimental/math/latentmodel.ts:359
Parameters
- f: UnaryFunction<Real[], Real>
Returns Real

integratedExpectedValue2

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

Inherited from LatentModel.integratedExpectedValue2
- Defined in ql/experimental/math/latentmodel.ts:367
Parameters
- f: UnaryFunction<Real[], Real[]>
Returns Real[]

integration

integration(): LMIntegration

Inherited from DefaultLatentModel.integration

Overrides LatentModel.integration
- Defined in ql/experimental/credit/defaultprobabilitylatentmodel.ts:175
Returns LMIntegration

inverseCumulativeDensity

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

Inherited from LatentModel.inverseCumulativeDensity
- Defined in ql/experimental/math/latentmodel.ts:392
Parameters
- p: Probability
- iFactor: Size
Returns Real

inverseCumulativeY

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

Inherited from LatentModel.inverseCumulativeY
- Defined in ql/experimental/math/latentmodel.ts:396
Parameters
- p: Probability
- iVariable: Size
Returns Real

inverseCumulativeZ

inverseCumulativeZ(p: Probability): Real

Inherited from LatentModel.inverseCumulativeZ
- Defined in ql/experimental/math/latentmodel.ts:400
Parameters
- p: Probability
Returns Real

latentVarValue

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

Inherited from LatentModel.latentVarValue
- Defined in ql/experimental/math/latentmodel.ts:408
Parameters
- allFactors: Real[]
- iVar: Size
Returns Real

latentVariableCorrel

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

Inherited from LatentModel.latentVariableCorrel
- Defined in ql/experimental/math/latentmodel.ts:345
Parameters
- iVar1: Size
- iVar2: Size
Returns Real

lmInit1

lmInit1(factorWeights: Real[][], ini?: any): LatentModel

Inherited from LatentModel.lmInit1
- Defined in ql/experimental/math/latentmodel.ts:253
Parameters
- factorWeights: Real[][]
- Default value ini: any = null
Returns LatentModel

lmInit2

lmInit2(factorWeights: Real[], ini?: any): LatentModel

Inherited from LatentModel.lmInit2
- Defined in ql/experimental/math/latentmodel.ts:273
Parameters
- factorWeights: Real[]
- Default value ini: any = null
Returns LatentModel

lmInit3

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

Inherited from LatentModel.lmInit3
- Defined in ql/experimental/math/latentmodel.ts:292
Parameters
- correlSqr: Real
- nVariables: Size
- Default value ini: any = null
Returns LatentModel

lmInit4

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

Inherited from LatentModel.lmInit4
- Defined in ql/experimental/math/latentmodel.ts:308
Parameters
- singleFactorCorrel: Handle<Quote>
- nVariables: Size
- Default value ini: any = null
Returns LatentModel

numFactors

numFactors(): Size

Inherited from LatentModel.numFactors
- Defined in ql/experimental/math/latentmodel.ts:329
Returns Size

numTotalFactors

numTotalFactors(): Size

Inherited from LatentModel.numTotalFactors
- Defined in ql/experimental/math/latentmodel.ts:333
Returns Size

probAtLeastNEvents

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

Inherited from DefaultLatentModel.probAtLeastNEvents
- Defined in ql/experimental/credit/defaultprobabilitylatentmodel.ts:237
Parameters
- n: Size
- date: Date
Returns Probability

probOfDefault

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

Inherited from DefaultLatentModel.probOfDefault
- Defined in ql/experimental/credit/defaultprobabilitylatentmodel.ts:179
Parameters
- iName: Size
- d: Date
Returns Probability

recoveries

recoveries(): Real[]

- Defined in ql/experimental/credit/constantlosslatentmodel.ts:75
Returns Real[]

resetBasket

resetBasket(basket: Basket): void

Inherited from DefaultLatentModel.resetBasket
- Defined in ql/experimental/credit/defaultprobabilitylatentmodel.ts:62
Parameters
- basket: Basket
Returns void

size

size(): Size

Inherited from LatentModel.size
- Defined in ql/experimental/math/latentmodel.ts:325
Returns Size

update

update(): void

Inherited from DefaultLatentModel.update

Overrides LatentModel.update
- Defined in ql/experimental/credit/defaultprobabilitylatentmodel.ts:101
Returns void

Hierarchy

Implements

Implemented by

Index

Constructors

Properties

Methods

Constructors

constructor

Parameters

copulaPolicy: any

Returns ConstantLossLatentmodel

Properties

_cachedMktFactor

_copula

_factorWeights

_idiosyncFctrs

_integration

_isDisposed

_nFactors

_nVariables

_observables

_observers

_recoveries

basket_

copulaPolicy

dispose

Type declaration

Returns void

isDisposed

notifyObservers

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

unregisterObserver

Type declaration

Parameters

o: Observer

Returns void

unregisterWith

Type declaration

Parameters

h: Observable

Returns Size

unregisterWithAll

Type declaration

Returns void

Methods

allFactorCumulInverter

Parameters

probs: Real[]

Returns Real[]

cllmInit1

Parameters

factorWeights: Real[][]

recoveries: Real[]

integralType: LatentModelIntegrationType

ini: any

Returns ConstantLossLatentmodel

cllmInit2

Parameters

mktCorrel: Handle<Quote>

recoveries: Real[]

integralType: LatentModelIntegrationType

nVariables: Size

Default value ini: any = null