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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.

todo

Consider QL_REQUIRE(basket_, "No portfolio basket set.") test in debug model only for performance reasons.

Hierarchy

Implements

Implemented by

Index

Constructors

constructor

  • Parameters

    • copulaPolicy: any

    Returns DefaultLatentModel

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()

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

registerWith

registerWith: (h: Observable) => void

Type declaration

registerWithObservables

registerWithObservables: (o: Observer) => void

Type declaration

unregisterObserver

unregisterObserver: (o: Observer) => void

Type declaration

unregisterWith

unregisterWith: (h: Observable) => Size

Type declaration

unregisterWithAll

unregisterWithAll: () => void

Type declaration

    • (): void
    • Returns void

Methods

allFactorCumulInverter

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

condProbProduct

  • Parameters

    Returns Probability

conditionalDefaultProbability1

  • Parameters

    Returns Probability

conditionalDefaultProbability2

  • Parameters

    • date: Date
    • iName: Size
    • mktFactors: Real[]

    Returns Probability

conditionalDefaultProbabilityInvP

  • Parameters

    Returns Probability

conditionalProbAtLeastNEvents

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

    Returns Real

copula

  • copula(): any
  • Returns any

cumulativeY

cumulativeZ

deepUpdate

  • deepUpdate(): void

defaultCorrelation

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

    Returns Real

density

dlmInit1

dlmInit2

factorWeights

  • factorWeights(): Real[][]

idiosyncFctrs

  • idiosyncFctrs(): Real[]

init

  • Parameters

    • copulaPolicyImpl: any

    Returns LatentModel

integratedExpectedValue1

integratedExpectedValue2

integration

inverseCumulativeDensity

inverseCumulativeY

inverseCumulativeZ

latentVarValue

latentVariableCorrel

lmInit1

  • Parameters

    • factorWeights: Real[][]
    • Default value ini: any = null

    Returns LatentModel

lmInit2

  • Parameters

    • factorWeights: Real[]
    • Default value ini: any = null

    Returns LatentModel

lmInit3

lmInit4

numFactors

  • numFactors(): Size

numTotalFactors

  • numTotalFactors(): Size

probAtLeastNEvents

  • Parameters

    • n: Size
    • date: Date

    Returns Probability

probOfDefault

  • Parameters

    • iName: Size
    • d: Date

    Returns Probability

resetBasket

  • resetBasket(basket: Basket): void
  • Parameters

    Returns void

size

  • Returns Size

update

  • update(): void
  • Returns void