QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.20
Public Member Functions | Protected Member Functions | Friends | List of all members
RandomLossLM< copulaPolicy, USNG > Class Template Reference

#include <ql/experimental/credit/randomlosslatentmodel.hpp>

Public Member Functions

 RandomLossLM (const ext::shared_ptr< SpotRecoveryLatentModel< copulaPolicy > > &copula, Size nSims=0, Real accuracy=1.e-6, BigNatural seed=2863311530UL)
 

Protected Member Functions

void nextSample (const std::vector< Real > &values) const
 
void initDates () const
 
Real getEventRecovery (const defaultSimEvent &evt) const
 
Real latentVarValue (const std::vector< Real > &factorsSample, Size iVar) const
 
Size basketSize () const
 
Real conditionalRecovery (Real latentVarSample, Size iName, const Date &d) const
 

Friends

class RandomLM< ::QuantLib::RandomLossLM, copulaPolicy, USNG >
 

Detailed Description

template<class copulaPolicy, class USNG = SobolRsg>
class QuantLib::RandomLossLM< copulaPolicy, USNG >

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

Examples
BasketLosses.cpp.