ConstantLossModel | quantlib.js

ConstantLossLatentModel interface for loss models.

While it does not provide distribution type losses (e.g. expected tranche losses) because it lacks an integration algorithm it serves to allow pricing of digital type products like NTDs.

Alternatively fuse with the aboves class.

Hierarchy

ConstantLossLatentmodelDefaultLossModel
- ConstantLossModel

Implements

Index

Constructors

constructor

Properties

Methods

Constructors

constructor

new ConstantLossModel(copulaPolicy: any): ConstantLossModel

- Defined in ql/experimental/credit/constantlossmodel.ts:25
Parameters
- copulaPolicy: any
Returns ConstantLossModel

Properties

_basket

_basket: RelinkableHandle<Basket> = new RelinkableHandle()

_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[]

allFactorCumulInverter

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

Type declaration

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

basket_

basket_: Basket

cllmInit1

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

Type declaration

- (factorWeights: Real[][], recoveries: Real[], integralType: LatentModelIntegrationType, ini?: any): ConstantLossLatentmodel
- Parameters
  - factorWeights: Real[][]
  - recoveries: Real[]
  - integralType: LatentModelIntegrationType
  - Optional ini: any
  Returns ConstantLossLatentmodel

cllmInit2

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

Type declaration

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

condProbProduct

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

Type declaration

- (invCumYProb1: Real, invCumYProb2: Real, iName1: Size, iName2: Size, mktFactors: Real[]): Probability
- Parameters
  - invCumYProb1: Real
  - invCumYProb2: Real
  - iName1: Size
  - iName2: Size
  - mktFactors: Real[]
  Returns Probability

conditionalDefaultProbability1

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

Type declaration

- (prob: Probability, iName: Size, mktFactors: Real[]): Probability
- Parameters
  - prob: Probability
  - iName: Size
  - mktFactors: Real[]
  Returns Probability

conditionalDefaultProbability2

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

Type declaration

- (date: Date, iName: Size, mktFactors: Real[]): Probability
- Parameters
  - date: Date
  - iName: Size
  - mktFactors: Real[]
  Returns Probability

conditionalDefaultProbabilityInvP

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

Type declaration

- (invCumYProb: Real, iName: Size, m: Real[]): Probability
- Parameters
  - invCumYProb: Real
  - iName: Size
  - m: Real[]
  Returns Probability

conditionalProbAtLeastNEvents

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

Type declaration

- (n: Size, date: Date, mktFactors: Real[]): Real
- Parameters
  - n: Size
  - date: Date
  - mktFactors: Real[]
  Returns Real

conditionalRecovery1

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

Type declaration

- (d: Date, iName: Size, mktFactors: Real[]): Real
- Parameters
  - d: Date
  - iName: Size
  - mktFactors: Real[]
  Returns Real

conditionalRecovery2

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

Type declaration

- (uncondDefP: Probability, iName: Size, mktFactors: Real[]): Real
- Parameters
  - uncondDefP: Probability
  - iName: Size
  - mktFactors: Real[]
  Returns Real

conditionalRecovery3

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

Type declaration

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

conditionalRecoveryInvP

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

Type declaration

- (invUncondDefP: Real, iName: Size, mktFactors: Real[]): Real
- Parameters
  - invUncondDefP: Real
  - iName: Size
  - mktFactors: 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

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

dlmInit1

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

Type declaration

- (factorWeights: Real[][], integralType: LatentModelIntegrationType, ini?: any): DefaultLatentModel
- Parameters
  - factorWeights: Real[][]
  - integralType: LatentModelIntegrationType
  - Optional ini: any
  Returns DefaultLatentModel

dlmInit2

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

Type declaration

- (mktCorrel: Handle<Quote>, nVariables: Size, integralType: LatentModelIntegrationType, ini?: any): DefaultLatentModel
- Parameters
  - mktCorrel: Handle<Quote>
  - nVariables: Size
  - integralType: LatentModelIntegrationType
  - Optional ini: any
  Returns DefaultLatentModel

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

probOfDefault

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

Type declaration

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

recoveries

recoveries: () => Real[]

Type declaration

- (): Real[]
- Returns Real[]

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

resetBasket

resetBasket: (basket: Basket) => void

Type declaration

- (basket: Basket): void
- Parameters
  - basket: Basket
  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

clmInit1

clmInit1(factorWeights: Real[][], recoveries: Real[], integralType: LatentModelIntegrationType, ini?: any): ConstantLossModel

- Defined in ql/experimental/credit/constantlossmodel.ts:33
Parameters
- factorWeights: Real[][]
- recoveries: Real[]
- integralType: LatentModelIntegrationType
- Default value ini: any = null
Returns ConstantLossModel

clmInit2

clmInit2(mktCorrel: Handle<Quote>, recoveries: Real[], integralType: LatentModelIntegrationType, nVariables: Size, ini?: any): ConstantLossModel

- Defined in ql/experimental/credit/constantlossmodel.ts:43
Parameters
- mktCorrel: Handle<Quote>
- recoveries: Real[]
- integralType: LatentModelIntegrationType
- nVariables: Size
- Default value ini: any = null
Returns ConstantLossModel

defaultCorrelation

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

Overrides ConstantLossLatentmodelDefaultLossModel.defaultCorrelation
- Defined in ql/experimental/credit/constantlossmodel.ts:52
Parameters
- d: Date
- iName: Size
- jName: Size
Returns Real

expectedRecovery

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

Overrides ConstantLossLatentmodelDefaultLossModel.expectedRecovery
- Defined in ql/experimental/credit/constantlossmodel.ts:62
Parameters
- d: Date
- iName: Size
- k: DefaultProbKey
Returns Real

expectedShortfall

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

Inherited from ConstantLossLatentmodelDefaultLossModel.expectedShortfall
- Defined in mixins/ql/experimental/constantlosslatentmodeldefaultlossmodel.ts:45
Parameters
- d: Date
- percentile: Real
Returns Real

expectedTrancheLoss

expectedTrancheLoss(d: Date): Real

Inherited from ConstantLossLatentmodelDefaultLossModel.expectedTrancheLoss
- Defined in mixins/ql/experimental/constantlosslatentmodeldefaultlossmodel.ts:36
Parameters
- d: Date
Returns Real

percentile

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

Inherited from ConstantLossLatentmodelDefaultLossModel.percentile
- Defined in mixins/ql/experimental/constantlosslatentmodeldefaultlossmodel.ts:42
Parameters
- d: Date
- percentile: Real
Returns Real

probAtLeastNEvents

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

Overrides ConstantLossLatentmodelDefaultLossModel.probAtLeastNEvents
- Defined in ql/experimental/credit/constantlossmodel.ts:57
Parameters
- n: Size
- d: Date
Returns Probability

probOverLoss

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

Inherited from ConstantLossLatentmodelDefaultLossModel.probOverLoss
- Defined in mixins/ql/experimental/constantlosslatentmodeldefaultlossmodel.ts:39
Parameters
- d: Date
- lossFraction: Real
Returns Probability

resetModel

resetModel(): void

Overrides ConstantLossLatentmodelDefaultLossModel.resetModel
- Defined in ql/experimental/credit/constantlossmodel.ts:67
Returns void

update

update(): void

Inherited from ConstantLossLatentmodelDefaultLossModel.update
- Defined in mixins/ql/experimental/constantlosslatentmodeldefaultlossmodel.ts:31
Returns void

Hierarchy

Implements

Index

Constructors

Properties

Methods

Constructors

constructor

Parameters

copulaPolicy: any

Returns ConstantLossModel

Properties

_basket

_cachedMktFactor

_copula

_factorWeights

_idiosyncFctrs

_integration

_isDisposed

_nFactors

_nVariables

_observables

_observers

_recoveries

allFactorCumulInverter

Type declaration

Parameters

probs: Real[]

Returns Real[]

basket_

cllmInit1

Type declaration

Parameters

factorWeights: Real[][]

recoveries: Real[]

integralType: LatentModelIntegrationType

Optional ini: any

Returns ConstantLossLatentmodel

cllmInit2

Type declaration

Parameters

mktCorrel: Handle<Quote>

recoveries: Real[]

integralType: LatentModelIntegrationType

nVariables: Size

Optional ini: any

Returns ConstantLossLatentmodel

condProbProduct

Type declaration

Parameters

invCumYProb1: Real

invCumYProb2: Real

iName1: Size

iName2: Size

mktFactors: Real[]

Returns Probability

conditionalDefaultProbability1

Type declaration

Parameters

prob: Probability

iName: Size

mktFactors: Real[]

Returns Probability

conditionalDefaultProbability2

Type declaration

Parameters

date: Date

iName: Size

mktFactors: Real[]

Returns Probability

conditionalDefaultProbabilityInvP

Type declaration

Parameters

invCumYProb: Real

iName: Size

m: Real[]

Returns Probability

conditionalProbAtLeastNEvents

Type declaration

Parameters