basketNotional (3) - Linux Manuals
NAME
QuantLib::Basket -
SYNOPSIS
#include <ql/experimental/credit/basket.hpp>
Public Member Functions
Basket (const std::vector< std::string > &names, const std::vector< Real > ¬ionals, const boost::shared_ptr< Pool > pool, Real attachmentRatio=0.0, Real detachmentRatio=1.0)
Size size () const
const std::vector< std::string > & names () const
const std::vector< Real > & notionals () const
Real notional ()
boost::shared_ptr< Pool > pool () const
const std::vector< Real > & LGDs () const
Real lgd ()
Real attachmentRatio () const
Real detachmentRatio () const
Real basketNotional () const
Real basketLGD () const
Real trancheNotional () const
Real attachmentAmount () const
Real detachmentAmount () const
std::vector< Real > probabilities (const Date &d) const
Real cumulatedLoss (const Date &startDate, const Date &endDate) const
Real remainingNotional (const Date &startDate, const Date &endDate) const
std::vector< Real > remainingNotionals (const Date &startDate, const Date &endDate) const
std::vector< std::string > remainingNames (const Date &startDate, const Date &endDate) const
Real remainingAttachmentRatio (const Date &startDate, const Date &endDate) const
Real remainingAttachmentAmount (const Date &startDate, const Date &endDate) const
Real remainingDetachmentRatio (const Date &startDate, const Date &endDate) const
Real remainingDetachmentAmount (const Date &startDate, const Date &endDate) const
void updateScenarioLoss (bool zeroRecovery=false)
Real scenarioTrancheLoss (Date endDate) const
std::vector< Loss > scenarioIncrementalBasketLosses () const
std::vector< Loss > scenarioIncrementalTrancheLosses (Date startDate=Date::minDate(), Date endDate=Date::maxDate()) const
Detailed Description
Credit Basket A basket is a collection of credit names, represented by a unique identifier (a text string), associated notional amounts, a pool and tranche information. The pool is a map of 'names' to issuers. The Basket structure is motivated by CDO squared instruments containing various underlying inner CDOs which can be represented by respective baskets including their tranche structure. The role of the Pool is providing a unique list of relevant issuers while names may appear multiple times across different baskets (overlap).
Member Function Documentation
const std::vector<Real>& LGDs () const
Loss Given Default for all issuers/notionals based on expected recovery rates for the respective issuers.
Real attachmentRatio () const
Attachment point expressed as a fraction of the total pool notional.
Real detachmentRatio () const
Detachment point expressed as a fraction of the total pool notional.
Real basketNotional () const
Original basket notional ignoring any losses.
Real basketLGD () const
Real trancheNotional () const
Original tranche notional ignoring any losses.
Real attachmentAmount () const
Attachment amount = attachmentRatio() * basketNotional()
Real detachmentAmount () const
Detachment amount = detachmentRatio() * basketNotional()
std::vector<Real> probabilities (const Date & d) const
Vector of cumulative default probability to date d for al issuers in the basket.
Real cumulatedLoss (const Date & startDate, const Date & endDate) const
Actual basket losses between start and end date, taking the actual recovery rates of loss events into account.
Real remainingNotional (const Date & startDate, const Date & endDate) const
Remaining basket notional after losses between start and end date. The full notional for defaulted names is subracted, recovery ignored.
std::vector<Real> remainingNotionals (const Date & startDate, const Date & endDate) const
Vector of surviving notionals after losses between start and end date, recovery ignored.
std::vector<std::string> remainingNames (const Date & startDate, const Date & endDate) const
Vector of surviving issuers after defaults between start and end date.
Real remainingAttachmentRatio (const Date & startDate, const Date & endDate) const
The remaining attachment amount is RAA = max (0, attachmentAmount - cumulatedLoss())
The remaining attachment ratio is then RAR = RAA / remainingNotional()
Real remainingDetachmentRatio (const Date & startDate, const Date & endDate) const
The remaining detachment amount is RDA = max (0, detachmentAmount - cumulatedLoss())
The remaining detachment ratio is then RDR = RDA / remainingNotional()
void updateScenarioLoss (bool zeroRecovery = false)
Based on the default times stored in the Pool for each name, update the vector of incremental basket losses (sorted by default time) for this basket. If zeroRecovery is set to true, losses are full notional amounts, otherwise loss give defaults.
Real scenarioTrancheLoss (Date endDate) const
Cumulative tranche loss up to end date under the current scenario
std::vector<Loss> scenarioIncrementalBasketLosses () const
Vector of incremental basket losses under the current scenario
std::vector<Loss> scenarioIncrementalTrancheLosses (Date startDate = Date::minDate(), Date endDate = Date::maxDate()) const
Vector of incremental tranche losses under the current scenario
Author
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