Options
All
  • Public
  • Public/Protected
  • All
Menu

Hierarchy

Implements

Index

Constructors

constructor

Properties

USNG

USNG: USG<Real[]>

_alwaysForward

_alwaysForward: boolean = false

_basket

_basket: RelinkableHandle<Basket> = new RelinkableHandle()

_calculated

_calculated: boolean = false

Protected _copula

_copula: any

Protected _copulasRng

_copulasRng: any

_frozen

_frozen: boolean = false

_isDisposed

_isDisposed: boolean = false

Protected _maxHorizon

_maxHorizon: Size = 4050

Protected _nSims

_nSims: Size

Protected _numFactors

_numFactors: Size

Protected _numLMVars

_numLMVars: Size

_observables

_observables: Set<Observable> = new Set()

_observers

_observers: Set<Observer> = new Set()

_seed

_seed: BigNatural

Protected _simsBuffer

_simsBuffer: simEvent[][]

alwaysForwardNotifications

alwaysForwardNotifications: () => void

Type declaration

    • (): void
    • Returns void

calculate

calculate: () => void

Type declaration

    • (): void
    • Returns void

copulaPolicy

copulaPolicy: any

deepUpdate

deepUpdate: () => void

Type declaration

    • (): void
    • Returns void

densityTrancheLoss

densityTrancheLoss: (d: Date, lossFraction: Real) => Real

Type declaration

    • Parameters

      • d: Date
      • lossFraction: Real

      Returns Real

derivedRandomLM

derivedRandomLM: any

dispose

dispose: () => void

Type declaration

    • (): void
    • Returns void

freeze

freeze: () => void

Type declaration

    • (): void
    • Returns void

isDisposed

isDisposed: boolean

notifyObservers

notifyObservers: () => void

Type declaration

    • (): void
    • Returns void

probOverLoss

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

Type declaration

recalculate

recalculate: () => 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

setBasket

setBasket: (bskt: Basket) => void

Type declaration

splitESFLevel

splitESFLevel: (d: Date, loss: Real) => Real[]

Type declaration

unfreeze

unfreeze: () => void

Type declaration

    • (): void
    • Returns void

unregisterObserver

unregisterObserver: (o: Observer) => void

Type declaration

unregisterWith

unregisterWith: (h: Observable) => Size

Type declaration

unregisterWithAll

unregisterWithAll: () => void

Type declaration

    • (): void
    • Returns void

Methods

basketSize

  • basketSize(): Size

computeHistogram

defaultCorrelation

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

expectedRecovery

expectedShortfall

  • expectedShortfall(d: Date, percent: Real): Real

expectedTrancheLoss

  • expectedTrancheLoss(d: Date): Real

expectedTrancheLossInterval

getEventRecovery

getSim

  • Parameters

    Returns simEvent[]

init

  • Parameters

    Returns void

initDates

  • initDates(): void
  • Returns void

latentVarValue

lossDistribution

nextSample

  • nextSample(values: Real[]): void
  • Parameters

    Returns void

percentile

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

percentileAndInterval

performCalculations

  • performCalculations(): void

performSimulations

  • performSimulations(): void

probAtLeastNEvents

probsBeingNthEvent

rdlmInit1

rdlmInit2

resetModel

  • resetModel(): void

splitVaRAndError

splitVaRLevel

  • splitVaRLevel(date: Date, loss: Real): Real[]

update

  • update(): void