Overview

QuantLib Credit Basket Loss Models

Function List

qlBaseCorrelationLossModel ()
qlGBinomialLossmodel ()
qlGMCLossModel ()
qlGRandomRRMCLossModel ()
qlGRecursiveLossmodel ()
qlGSaddlePointLossmodel ()
qlGaussianLHPLossmodel ()
qlIHGaussPoolLossModel ()
qlIHStudentPoolLossModel ()
qlTBinomialLossmodel ()
qlTMCLossModel ()
qlTRandomRRMCLossModel ()
qlTSaddlePointLossmodel ()

Function Documentation

qlBaseCorrelationLossModel

string returnValue
 
qlBaseCorrelationLossModel(
        string ObjectId
        string BaseModel
        string BaseCorrelationSurface
        vector<double> Recoveries
        vector<double> InitiTraits
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class BaseCorrelationLossModel and return its id

Supported Platforms:

Excel, C++

Parameters

ObjectId	id of object to be created
BaseModel	The base algorithm on which the EL is to be computed at different correlations.
BaseCorrelationSurface	Base correlation surface.
Recoveries	Quoted recoveries for each name in the model.
InitiTraits	Copula initialization traits are defined in terms of this vector.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlGBinomialLossmodel

string returnValue
 
qlGBinomialLossmodel(
        string ObjectId
        vector<vector<double> > Factors
        vector<double> RecoveryRates
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class GaussianBinomialLossModel and return its id

Supported Platforms:

Excel

Parameters

ObjectId	id of object to be created
Factors	Systemic model factors.
RecoveryRates	Recovery rates of each live name in the portfolio.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlGMCLossModel

string returnValue
 
qlGMCLossModel(
        string ObjectId
        vector<vector<double> > Factors
        vector<double> RecoveryRates
        long NumSimulations
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class GaussianRandomDefaultLM and return its id

Supported Platforms:

Excel, C++

Parameters

ObjectId	id of object to be created
Factors	Systemic model factors.
RecoveryRates	Recovery rates of each live name in the portfolio.
NumSimulations	MC simulations.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlGRandomRRMCLossModel

string returnValue
 
qlGRandomRRMCLossModel(
        string ObjectId
        vector<vector<double> > Factors
        vector<double> RecoveryRates
        double ModelA
        long NumSimulations
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class GaussianRandomLossLM and return its id

Supported Platforms:

Excel, C++

Parameters

ObjectId	id of object to be created
Factors	Systemic model factors.
RecoveryRates	Recovery rates of each live name in the portfolio.
ModelA	Recovery deviation parameter.
NumSimulations	MC simulations.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlGRecursiveLossmodel

string returnValue
 
qlGRecursiveLossmodel(
        string ObjectId
        vector<vector<double> > Factors
        vector<double> RecoveryRates
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class RecursiveGaussLossModel and return its id

Supported Platforms:

Excel

Parameters

ObjectId	id of object to be created
Factors	Systemic model factors.
RecoveryRates	Recovery rates of each live name in the portfolio.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlGSaddlePointLossmodel

string returnValue
 
qlGSaddlePointLossmodel(
        string ObjectId
        vector<vector<double> > Factors
        vector<double> RecoveryRates
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class SaddlePointLossModel and return its id

Supported Platforms:

Excel

Parameters

ObjectId	id of object to be created
Factors	Systemic model factors.
RecoveryRates	Recovery rates of each live name in the portfolio.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlGaussianLHPLossmodel

string returnValue
 
qlGaussianLHPLossmodel(
        string ObjectId
        double Correlation
        vector<double> RecoveryRates
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class GaussianLHPLossModel and return its id

Supported Platforms:

Excel

Parameters

ObjectId	id of object to be created
Correlation	Gaussian model single correlation.
RecoveryRates	Recovery rates of each live name in the portfolio.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlIHGaussPoolLossModel

string returnValue
 
qlIHGaussPoolLossModel(
        string ObjectId
        double Correlation
        vector<double> RecoveryRates
        long NumBuckets
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class IHGaussPoolLossModel and return its id

Supported Platforms:

Excel

Parameters

ObjectId	id of object to be created
Correlation	Model single correlation.
RecoveryRates	Recovery rates of each live name in the portfolio.
NumBuckets	Number of distribution loss buckets.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlIHStudentPoolLossModel

string returnValue
 
qlIHStudentPoolLossModel(
        string ObjectId
        double Correlation
        vector<double> RecoveryRates
        vector<double> Ttraits
        long NumBuckets
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class IHStudentPoolLossModel and return its id

Supported Platforms:

Excel

Parameters

ObjectId	id of object to be created
Correlation	Model single correlation.
RecoveryRates	Recovery rates of each live name in the portfolio.
Ttraits	T orders on each factor.
NumBuckets	Number of distribution loss buckets.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlTBinomialLossmodel

string returnValue
 
qlTBinomialLossmodel(
        string ObjectId
        vector<vector<double> > Factors
        vector<double> RecoveryRates
        vector<double> Ttraits
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class TBinomialLossModel and return its id

Supported Platforms:

Excel

Parameters

ObjectId	id of object to be created
Factors	Systemic model factors.
RecoveryRates	Recovery rates of each live name in the portfolio.
Ttraits	T orders on each factor.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlTMCLossModel

string returnValue
 
qlTMCLossModel(
        string ObjectId
        vector<vector<double> > Factors
        vector<double> RecoveryRates
        vector<double> Ttraits
        long NumSimulations
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class TRandomDefaultLM and return its id

Supported Platforms:

Excel, C++

Parameters

ObjectId	id of object to be created
Factors	Systemic model factors.
RecoveryRates	Recovery rates of each live name in the portfolio.
Ttraits	T orders on each factor.
NumSimulations	MC simulations.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlTRandomRRMCLossModel

string returnValue
 
qlTRandomRRMCLossModel(
        string ObjectId
        vector<vector<double> > Factors
        vector<double> RecoveryRates
        vector<double> Ttraits
        double ModelA
        long NumSimulations
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class TRandomLossLM and return its id

Supported Platforms:

Excel, C++

Parameters

ObjectId	id of object to be created
Factors	Systemic model factors.
RecoveryRates	Recovery rates of each live name in the portfolio.
Ttraits	T orders on each factor.
ModelA	Recovery deviation parameter.
NumSimulations	MC simulations.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlTSaddlePointLossmodel

string returnValue
 
qlTSaddlePointLossmodel(
        string ObjectId
        vector<vector<double> > Factors
        vector<double> RecoveryRates
        vector<double> Ttraits
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class TSaddlePointLossModel and return its id

Supported Platforms:

Excel

Parameters

ObjectId	id of object to be created
Factors	Systemic model factors.
RecoveryRates	Recovery rates of each live name in the portfolio.
Ttraits	T orders on each factor.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag