This is a model for joint default events based on a generic Latent
Model. It models solely the default events in a portfolio, not making any
reference to severities, exposures, etc...
An implicit correspondence is stablished between the variables modelled and
the names in the basket given by the basket and model variable access
indices.
The class is parametric on the Latent Model copula.
todo
Consider QL_REQUIRE(basket_, "No portfolio basket set.") test in
debug model only for performance reasons.
Default event Latent Model.
This is a model for joint default events based on a generic Latent Model. It models solely the default events in a portfolio, not making any reference to severities, exposures, etc... An implicit correspondence is stablished between the variables modelled and the names in the basket given by the basket and model variable access indices. The class is parametric on the Latent Model copula.
Consider QL_REQUIRE(basket_, "No portfolio basket set.") test in debug model only for performance reasons.