QuantLib Credit Latent Models

Overview

QuantLib Credit Latent Models

Function List

qlGaussianDefaultProbLM ()
qlGaussianLMAssetCorrel ()
qlGaussianLMDefaultCorrel ()
qlGaussianLMProbNHits ()
qlTDefaultProbLM ()
qlTLMAssetCorrel ()
qlTLMDefaultCorrel ()
qlTLMProbNHits ()

Function Documentation

qlGaussianDefaultProbLM

string returnValue
 
qlGaussianDefaultProbLM(
        string ObjectId
        string Basket
        vector<vector<double> > Factors
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class GaussianDefProbLM and return its id

Supported Platforms:

Excel, Calc

Parameters

ObjectId	id of object to be created
Basket	Defaultable positions basket.
Factors	Systemic model factors.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlGaussianLMAssetCorrel

double returnValue
 
qlGaussianLMAssetCorrel(
        string ObjectId
        long NameindexA
        long NameindexB
        any Trigger)

Description:

Default probability correlation.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::GaussianDefProbLM object
NameindexA	First name index
NameindexB	Second name index
Trigger	dependency tracking trigger

qlGaussianLMDefaultCorrel

double returnValue
 
qlGaussianLMDefaultCorrel(
        string ObjectId
        long CorrelationDate
        long NameindexA
        long NameindexB
        any Trigger)

Description:

Default probability correlation.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::GaussianDefProbLM object
CorrelationDate	Correlation date. Default value = QuantLib::Date().
NameindexA	First name index
NameindexB	Second name index
Trigger	dependency tracking trigger

qlGaussianLMProbNHits

double returnValue
 
qlGaussianLMProbNHits(
        string ObjectId
        long NumDefaults
        long ProbabilityDate
        any Trigger)

Description:

Probability of having a given number of defaults or more.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::GaussianDefProbLM object
NumDefaults	Number of defaults
ProbabilityDate	Target date. Default value = QuantLib::Date().
Trigger	dependency tracking trigger

qlTDefaultProbLM

string returnValue
 
qlTDefaultProbLM(
        string ObjectId
        vector<long> Torders
        string Basket
        vector<vector<double> > Factors
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class TDefProbLM and return its id

Supported Platforms:

Excel

Parameters

ObjectId	id of object to be created
Torders	Orders of the StudentT variates.
Basket	Defaultable positions basket.
Factors	Systemic model factors.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlTLMAssetCorrel

double returnValue
 
qlTLMAssetCorrel(
        string ObjectId
        long NameindexA
        long NameindexB
        any Trigger)

Description:

Default probability correlation.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::TDefProbLM object
NameindexA	First name index
NameindexB	Second name index
Trigger	dependency tracking trigger

qlTLMDefaultCorrel

double returnValue
 
qlTLMDefaultCorrel(
        string ObjectId
        long CorrelationDate
        long NameindexA
        long NameindexB
        any Trigger)

Description:

Default probability correlation.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::TDefProbLM object
CorrelationDate	Correlation date. Default value = QuantLib::Date().
NameindexA	First name index
NameindexB	Second name index
Trigger	dependency tracking trigger

qlTLMProbNHits

double returnValue
 
qlTLMProbNHits(
        string ObjectId
        long NumDefaults
        long ProbabilityDate
        any Trigger)

Description:

Probability of having a given number of defaults or more.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::TDefProbLM object
NumDefaults	Number of defaults
ProbabilityDate	Target date. Default value = QuantLib::Date().
Trigger	dependency tracking trigger