Expected RR for name conditinal to default by that date.
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.
Recursive STCDO default loss model for a heterogeneous pool of names.
The pool names are heterogeneous in their default probabilities, notionals and recovery rates. Correlations are given by the latent model. The recursive pricing algorithm used here is described in Andersen, Sidenius and Basu; "All your hedges in one basket", Risk, November 2003, pages 67-72
Notice that using copulas other than Gaussian it is only an approximation (see remark on p.68).
Make the loss unit equal to some small fraction depending on the portfolio loss weights (notionals and recoveries). As it is now this is ok for pricing but not for risk metrics. See the discussion in O'Kane 18.3.2
Intengrands should all use the inverted probabilities for performance instead of calling the copula inversion with the same vals.