RandomLossLM | quantlib.js

Random spot recovery rate loss model simulation for an arbitrary copula.

Hierarchy

RandomLM
- RandomLossLM
  - GaussianRandomLossLM
  - TRandomLossLM

Implements

Index

Classes

Root

Constructors

constructor

Properties

Constructors

constructor

new RandomLossLM(copulaPolicy: any, USNG?: USG<Real[]>): RandomLossLM

Overrides RandomLM.constructor
- Defined in ql/experimental/credit/randomlosslatentmodel.ts:26
Parameters
- copulaPolicy: any
- Default value USNG: USG<Real[]> = new SobolRsg()
Returns RandomLossLM

Properties

USNG

USNG: USG<Real[]>

Private _accuracy

_accuracy: 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

Private _horizonDefaultPs

_horizonDefaultPs: Probability[]

_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

- (d: Date, lossFraction: Real): Real
- 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

- (d: Date, lossFraction: Real): Probability
- Parameters
  - d: Date
  - lossFraction: Real
  Returns Probability

recalculate

recalculate: () => void

Type declaration

- (): void
- Returns void

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

setBasket

setBasket: (bskt: Basket) => void

Type declaration

- (bskt: Basket): void
- Parameters
  - bskt: Basket
  Returns void

splitESFLevel

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

Type declaration

- (d: Date, loss: Real): Real[]
- Parameters
  - d: Date
  - loss: Real
  Returns Real[]

unfreeze

unfreeze: () => void

Type declaration

- (): void
- Returns void

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

basketSize

basketSize(): Size

- Defined in ql/experimental/credit/randomlosslatentmodel.ts:149
Returns Size

computeHistogram

computeHistogram(d: Date): Histogram

Inherited from RandomLM.computeHistogram
- Defined in ql/experimental/credit/randomdefaultlatentmodel.ts:288
Parameters
- d: Date
Returns Histogram

conditionalRecovery

conditionalRecovery(latentVarSample: Real, iName: Size, d: Date): Real

- Defined in ql/experimental/credit/randomlosslatentmodel.ts:153
Parameters
- latentVarSample: Real
- iName: Size
- d: Date
Returns Real

defaultCorrelation

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

Inherited from RandomLM.defaultCorrelation

Overrides DefaultLossModelLazyObject.defaultCorrelation
- Defined in ql/experimental/credit/randomdefaultlatentmodel.ts:186
Parameters
- d: Date
- iName: Size
- jName: Size
Returns Real

expectedRecovery

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

Inherited from DefaultLossModelLazyObject.expectedRecovery
- Defined in mixins/ql/experimental/defaultlossmodellazyobject.ts:59
Parameters
- d: Date
- iName: Size
- key: DefaultProbKey
Returns Real

expectedShortfall

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

Inherited from RandomLM.expectedShortfall

Overrides DefaultLossModelLazyObject.expectedShortfall
- Defined in ql/experimental/credit/randomdefaultlatentmodel.ts:331
Parameters
- d: Date
- percent: Real
Returns Real

expectedTrancheLoss

expectedTrancheLoss(d: Date): Real

Inherited from RandomLM.expectedTrancheLoss

Overrides DefaultLossModelLazyObject.expectedTrancheLoss
- Defined in ql/experimental/credit/randomdefaultlatentmodel.ts:230
Parameters
- d: Date
Returns Real

expectedTrancheLossInterval

expectedTrancheLossInterval(d: Date, confidencePerc: Probability): [Real, Real]

Inherited from RandomLM.expectedTrancheLossInterval
- Defined in ql/experimental/credit/randomdefaultlatentmodel.ts:234
Parameters
- d: Date
- confidencePerc: Probability
Returns [Real, Real]

getEventRecovery

getEventRecovery(evt: defaultSimEvent): Real

Overrides RandomLM.getEventRecovery
- Defined in ql/experimental/credit/randomlosslatentmodel.ts:141
Parameters
- evt: defaultSimEvent
Returns Real

getSim

getSim(iSim: Size): simEvent[]

Inherited from RandomLM.getSim
- Defined in ql/experimental/credit/randomdefaultlatentmodel.ts:103
Parameters
- iSim: Size
Returns simEvent[]

init

init(numFactors: Size, numLMVars: Size, copula: any, nSims: Size, seed: BigNatural): void

Inherited from RandomLM.init
- Defined in ql/experimental/credit/randomdefaultlatentmodel.ts:65
Parameters
- numFactors: Size
- numLMVars: Size
- copula: any
- nSims: Size
- seed: BigNatural
Returns void

initDates

initDates(): void

- Defined in ql/experimental/credit/randomlosslatentmodel.ts:120
Returns void

latentVarValue

latentVarValue(factorsSample: Real[], iVar: Size): Real

- Defined in ql/experimental/credit/randomlosslatentmodel.ts:145
Parameters
- factorsSample: Real[]
- iVar: Size
Returns Real

lossDistribution

lossDistribution(d: Date): Map<Real, Probability>

Inherited from RandomLM.lossDistribution

Overrides DefaultLossModelLazyObject.lossDistribution
- Defined in ql/experimental/credit/randomdefaultlatentmodel.ts:274
Parameters
- d: Date
Returns Map<Real, Probability>

nextSample

nextSample(values: Real[]): void

- Defined in ql/experimental/credit/randomlosslatentmodel.ts:49
Parameters
- values: Real[]
Returns void

percentile

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

Inherited from RandomLM.percentile

Overrides DefaultLossModelLazyObject.percentile
- Defined in ql/experimental/credit/randomdefaultlatentmodel.ts:412
Parameters
- d: Date
- percentile: Real
Returns Real

percentileAndInterval

percentileAndInterval(d: Date, percentile: Real): [Real, Real, Real]

Inherited from RandomLM.percentileAndInterval
- Defined in ql/experimental/credit/randomdefaultlatentmodel.ts:417
Parameters
- d: Date
- percentile: Real
Returns [Real, Real, Real]

performCalculations

performCalculations(): void

Inherited from RandomLM.performCalculations

Overrides DefaultLossModelLazyObject.performCalculations
- Defined in ql/experimental/credit/randomdefaultlatentmodel.ts:86
Returns void

performSimulations

performSimulations(): void

Inherited from RandomLM.performSimulations
- Defined in ql/experimental/credit/randomdefaultlatentmodel.ts:93
Returns void

probAtLeastNEvents

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

Inherited from RandomLM.probAtLeastNEvents

Overrides DefaultLossModelLazyObject.probAtLeastNEvents
- Defined in ql/experimental/credit/randomdefaultlatentmodel.ts:111
Parameters
- n: Size
- d: Date
Returns Probability

probsBeingNthEvent

probsBeingNthEvent(n: Size, d: Date): Probability[]

Inherited from RandomLM.probsBeingNthEvent

Overrides DefaultLossModelLazyObject.probsBeingNthEvent
- Defined in ql/experimental/credit/randomdefaultlatentmodel.ts:143
Parameters
- n: Size
- d: Date
Returns Probability[]

resetModel

resetModel(): void

Overrides DefaultLossModelLazyObject.resetModel
- Defined in ql/experimental/credit/randomlosslatentmodel.ts:157
Returns void

rllmInit

rllmInit(copula: SpotRecoveryLatentModel, nSims?: Size, accuracy?: Real, seed?: BigNatural): RandomLossLM

- Defined in ql/experimental/credit/randomlosslatentmodel.ts:35
Parameters
- copula: SpotRecoveryLatentModel
- Default value nSims: Size = 0
- Default value accuracy: Real = 0.000001
- Default value seed: BigNatural = 2863311530
Returns RandomLossLM

splitVaRAndError

splitVaRAndError(date: Date, loss: Real, confInterval: Probability): Real[][]

Inherited from RandomLM.splitVaRAndError
- Defined in ql/experimental/credit/randomdefaultlatentmodel.ts:504
Parameters
- date: Date
- loss: Real
- confInterval: Probability
Returns Real[][]

splitVaRLevel

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

Inherited from RandomLM.splitVaRLevel

Overrides DefaultLossModelLazyObject.splitVaRLevel
- Defined in ql/experimental/credit/randomdefaultlatentmodel.ts:497
Parameters
- date: Date
- loss: Real
Returns Real[]

update

update(): void

Inherited from RandomLM.update

Overrides DefaultLossModelLazyObject.update
- Defined in ql/experimental/credit/randomdefaultlatentmodel.ts:77
Returns void

Hierarchy

Implements

Index

Classes

Constructors

Properties

Methods

Constructors

constructor

Parameters

copulaPolicy: any

Default value USNG: USG<Real[]> = new SobolRsg()

Returns RandomLossLM

Properties

USNG

Private _accuracy

_alwaysForward

_basket

_calculated

Protected _copula

Protected _copulasRng

_frozen

Private _horizonDefaultPs

_isDisposed

Protected _maxHorizon

Protected _nSims

Protected _numFactors

Protected _numLMVars

_observables

_observers

_seed

Protected _simsBuffer

alwaysForwardNotifications

Type declaration

Returns void

calculate

Type declaration

Returns void

copulaPolicy

deepUpdate

Type declaration

Returns void

densityTrancheLoss

Type declaration

Parameters

d: Date

lossFraction: Real

Returns Real

derivedRandomLM

dispose

Type declaration

Returns void

freeze

Type declaration

Returns void

isDisposed

notifyObservers

Type declaration

Returns void

probOverLoss

Type declaration

Parameters

d: Date

lossFraction: Real

Returns Probability

recalculate

Type declaration

Returns void

registerObserver

Type declaration

Parameters

o: Observer

Returns void

registerWith

Type declaration

Parameters

h: Observable

Returns void

registerWithObservables

Type declaration