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QuantLib_Basket

NAME

QuantLib::Basket -

SYNOPSIS

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

Inherits QuantLib::LazyObject.

Public Member Functions

Basket (const std::vector< std::string > &names, const std::vector< Real > &notionals, const boost::shared_ptr< Pool > pool, const std::vector< DefaultProbKey > &defaultKeys, const std::vector< boost::shared_ptr< RecoveryRateModel > > &rrModels, 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< DefaultProbKey > & defaultKeys () const

const std::vector< boost::shared_ptr< RecoveryRateModel > > & recoveryModels () const

const std::vector< Real > & LGDs () const

Real lgd ()

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
Original expected basket LGD.
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

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

std::vector< DefaultProbKey > remainingDefaultKeys (const Date &startDate, const Date &endDate) const

std::vector< boost::shared_ptr< RecoveryRateModel > > remainingRecModels (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
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.

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 () constLoss Given Default for all issuers/notionals based on expected recovery rates for the respective issuers.

std::vector<Real> probabilities (const Date & d) constVector of cumulative default probability to date d for al issuers in the basket.

Real cumulatedLoss (const Date & startDate, const Date & endDate) constActual 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) constRemaining 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) constVector of surviving notionals after losses between start and end date, recovery ignored.

std::vector<std::string> remainingNames (const Date & startDate, const Date & endDate) constVector of surviving issuers after defaults between start and end date.

Real remainingAttachmentRatio (const Date & startDate, const Date & endDate) constThe 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) constThe 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.

Author

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