Overview

QuantLib Credit Basket

Function List

qlCreditBasket ()
qlCreditBasketAttachLive ()
qlCreditBasketDefaulCorrel ()
qlCreditBasketDetachLive ()
qlCreditBasketESF ()
qlCreditBasketLiveNotional ()
qlCreditBasketLoss ()
qlCreditBasketNthEventP ()
qlCreditBasketPercentile ()
qlCreditBasketProbLoss ()
qlCreditBasketSetLossModel ()
qlCreditBasketSize ()
qlCreditBasketSplitLoss ()
qlExpectedTrancheLoss ()

Function Documentation

qlCreditBasket

string returnValue
 
qlCreditBasket(
        string ObjectId
        vector<string> IssuerNames
        vector<string> Issuers
        vector<double> Notionals
        long ReferenceDate
        double AttachmentRatio
        double DettachmentRatio
        bool Amortizing
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class Basket and return its id

Supported Platforms:

Excel, Calc

Parameters

ObjectId	id of object to be created
IssuerNames	Array containing the issuer names in the basket.
Issuers	Array of Issuers.
Notionals	Notional by which each name enters the basket.
ReferenceDate	Basket inception date. Default value = QuantLib::Date().
AttachmentRatio	Attachment ratio for losses affecting the basket.
DettachmentRatio	Dettachment ratio for losses affecting the basket.
Amortizing	Whether is Quarterly amortizing.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlCreditBasketAttachLive

double returnValue
 
qlCreditBasketAttachLive(
        string ObjectId
        any Trigger)

Description:

Remaining attach amount.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::Basket object
Trigger	dependency tracking trigger

qlCreditBasketDefaulCorrel

double returnValue
 
qlCreditBasketDefaulCorrel(
        string ObjectId
        long DateCorrel
        long IndexIssuer1
        long IndexIssuer2
        any Trigger)

Description:

Default correlation between two basket issuers.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::Basket object
DateCorrel	Computes the correlation on this date. Default value = QuantLib::Date().
IndexIssuer1	First name.
IndexIssuer2	Second name.
Trigger	dependency tracking trigger

qlCreditBasketDetachLive

double returnValue
 
qlCreditBasketDetachLive(
        string ObjectId
        any Trigger)

Description:

Remaining detach amount.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::Basket object
Trigger	dependency tracking trigger

qlCreditBasketESF

double returnValue
 
qlCreditBasketESF(
        string ObjectId
        long DateForLoss
        double PercentileValue
        any Trigger)

Description:

Basket loss expected shortfall amount (tranched).

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::Basket object
DateForLoss	Computes the loss percentile on this date. Default value = QuantLib::Date().
PercentileValue	Percentile requested.
Trigger	dependency tracking trigger

qlCreditBasketLiveNotional

double returnValue
 
qlCreditBasketLiveNotional(
        string ObjectId
        any Trigger)

Description:

Non defaulted portfolio outstanding notional.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::Basket object
Trigger	dependency tracking trigger

qlCreditBasketLoss

double returnValue
 
qlCreditBasketLoss(
        string ObjectId
        any Trigger)

Description:

Losses from default events.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::Basket object
Trigger	dependency tracking trigger

qlCreditBasketNthEventP

vector<double> returnValue
 
qlCreditBasketNthEventP(
        string ObjectId
        long EventOrder
        long DateForLoss
        any Trigger)

Description:

Probability of each basket name to default in the given order.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::Basket object
EventOrder	The order of default for which the probability is returned.
DateForLoss	Computes the probabilities on this date. Default value = QuantLib::Date().
Trigger	dependency tracking trigger

qlCreditBasketPercentile

double returnValue
 
qlCreditBasketPercentile(
        string ObjectId
        long DateForLoss
        double PercentileValue
        any Trigger)

Description:

Basket loss percentile amount (tranched).

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::Basket object
DateForLoss	Computes the loss percentile on this date. Default value = QuantLib::Date().
PercentileValue	Percentile requested.
Trigger	dependency tracking trigger

qlCreditBasketProbLoss

double returnValue
 
qlCreditBasketProbLoss(
        string ObjectId
        long DateForLoss
        double LossFractionValue
        any Trigger)

Description:

Probability of basket losses to be over a value at a given date.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::Basket object
DateForLoss	Computes the probabilities on this date. Default value = QuantLib::Date().
LossFractionValue	Value of losses as a fraction of initial tanche amount.
Trigger	dependency tracking trigger

qlCreditBasketSetLossModel

void returnValue
 
qlCreditBasketSetLossModel(
        string ObjectId
        string DefaultLossModel
        any Trigger)

Description:

Assigns a Default Loss Model to a given basket. Subsequent basket computations will use that model.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::Basket object
DefaultLossModel	Loss Model.
Trigger	dependency tracking trigger

qlCreditBasketSize

long returnValue
 
qlCreditBasketSize(
        string ObjectId
        any Trigger)

Description:

Number of counterparties at inception.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::Basket object
Trigger	dependency tracking trigger

qlCreditBasketSplitLoss

vector<double> returnValue
 
qlCreditBasketSplitLoss(
        string ObjectId
        long DateForLoss
        double LossValue
        any Trigger)

Description:

Splits a loss amount by counterparty contribution.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::Basket object
DateForLoss	Computes the probabilities on this date. Default value = QuantLib::Date().
LossValue	Value of losses in absolute amount.
Trigger	dependency tracking trigger

qlExpectedTrancheLoss

double returnValue
 
qlExpectedTrancheLoss(
        string ObjectId
        long DateForLoss
        any Trigger)

Description:

Basket expected tranche according to the basket loss model.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::Basket object
DateForLoss	Computes the expected loss on this date. Default value = QuantLib::Date().
Trigger	dependency tracking trigger