Expected RR for name conditinal to default by that date.
Full loss distribution.
This method should be called at the end of non-const methods or when the programmer desires to notify any changes.
Returns the probaility of having a given or larger number of defaults in the basket portfolio at a given time.
Probability of the tranche losing the same or more than the fractional amount given.
The passed lossFraction is a fraction of losses over the tranche notional (not the portfolio).
Probabilities for each of the (remaining) basket elements in the pool to have defaulted by time d and at the same time be the Nth defaulting name to default in the basket. This method is oriented to default order dependent portfolio pricing (e.g. NTDs) The the probabilities ordering in the vector coincides with the pool order.
Default loss model interface definition.
Allows communication between the basket and specific algorithms. Intended to hold any kind of portfolio joint loss, latent models, top-down,....
An inconvenience of this design as opposed to the full arguments/results is that when pricing several derivatives instruments on the same basket not all the pricing engines would point to the same loss model; thus when pricing a set of such instruments there might be some switching on the basket loss models, which might require recalculations (of the basket) or not depending on the pricing order.