Numerical-integration scheme used by a LatentModel-based copula loss model (e.g. the gaussian/student constant-loss dispatcher bound alongside NthToDefault).

Constructors

SecDom
SeniorSec
SnrFor
SeniorUnSec
SubLT2
SubLoweTier2
JrSubT2
SubUpperTier2
PrefT1
SubTier1
NoSeniority

Instances

Instances details

Bounded Seniority Source #
Instance details Defined in QuantLib.Credit Methods minBound :: Seniority # maxBound :: Seniority #
Enum Seniority Source #
Instance details Defined in QuantLib.Credit Methods succ :: Seniority -> Seniority # pred :: Seniority -> Seniority # toEnum :: Int -> Seniority # fromEnum :: Seniority -> Int # enumFrom :: Seniority -> [Seniority] # enumFromThen :: Seniority -> Seniority -> [Seniority] # enumFromTo :: Seniority -> Seniority -> [Seniority] # enumFromThenTo :: Seniority -> Seniority -> Seniority -> [Seniority] #
Read Seniority Source #
Instance details Defined in QuantLib.Credit Methods readsPrec :: Int -> ReadS Seniority # readList :: ReadS [Seniority] # readPrec :: ReadPrec Seniority # readListPrec :: ReadPrec [Seniority] #
Show Seniority Source #
Instance details Defined in QuantLib.Credit Methods showsPrec :: Int -> Seniority -> ShowS # show :: Seniority -> String # showList :: [Seniority] -> ShowS #
Eq Seniority Source #
Instance details Defined in QuantLib.Credit Methods (==) :: Seniority -> Seniority -> Bool # (/=) :: Seniority -> Seniority -> Bool #

data RestructuringType Source #

Restructuring clause of a default-probability key (ISDA XR/MR/MM/CR).

Constructors

NoRestructuring
XR
ModifiedRestructuring
MR
ModifiedModifiedRestructuring
MM
FullRestructuring
CR
AnyRestructuring

Instances

Instances details

Bounded RestructuringType Source #
Instance details Defined in QuantLib.Credit Methods minBound :: RestructuringType # maxBound :: RestructuringType #
Enum RestructuringType Source #
Instance details Defined in QuantLib.Credit Methods succ :: RestructuringType -> RestructuringType # pred :: RestructuringType -> RestructuringType # toEnum :: Int -> RestructuringType # fromEnum :: RestructuringType -> Int # enumFrom :: RestructuringType -> [RestructuringType] # enumFromThen :: RestructuringType -> RestructuringType -> [RestructuringType] # enumFromTo :: RestructuringType -> RestructuringType -> [RestructuringType] # enumFromThenTo :: RestructuringType -> RestructuringType -> RestructuringType -> [RestructuringType] #
Read RestructuringType Source #
Instance details Defined in QuantLib.Credit Methods readsPrec :: Int -> ReadS RestructuringType # readList :: ReadS [RestructuringType] # readPrec :: ReadPrec RestructuringType # readListPrec :: ReadPrec [RestructuringType] #
Show RestructuringType Source #
Instance details Defined in QuantLib.Credit Methods showsPrec :: Int -> RestructuringType -> ShowS # show :: RestructuringType -> String # showList :: [RestructuringType] -> ShowS #
Eq RestructuringType Source #
Instance details Defined in QuantLib.Credit Methods (==) :: RestructuringType -> RestructuringType -> Bool # (/=) :: RestructuringType -> RestructuringType -> Bool #

data LatentModelIntegrationType Source #

Constructors

GaussianQuadrature
Trapezoid

Instances

Instances details

Bounded LatentModelIntegrationType Source #
Instance details Defined in QuantLib.Credit Methods minBound :: LatentModelIntegrationType # maxBound :: LatentModelIntegrationType #
Enum LatentModelIntegrationType Source #
Instance details Defined in QuantLib.Credit Methods succ :: LatentModelIntegrationType -> LatentModelIntegrationType # pred :: LatentModelIntegrationType -> LatentModelIntegrationType # toEnum :: Int -> LatentModelIntegrationType # fromEnum :: LatentModelIntegrationType -> Int # enumFrom :: LatentModelIntegrationType -> [LatentModelIntegrationType] # enumFromThen :: LatentModelIntegrationType -> LatentModelIntegrationType -> [LatentModelIntegrationType] # enumFromTo :: LatentModelIntegrationType -> LatentModelIntegrationType -> [LatentModelIntegrationType] # enumFromThenTo :: LatentModelIntegrationType -> LatentModelIntegrationType -> LatentModelIntegrationType -> [LatentModelIntegrationType] #
Read LatentModelIntegrationType Source #
Instance details Defined in QuantLib.Credit Methods readsPrec :: Int -> ReadS LatentModelIntegrationType # readList :: ReadS [LatentModelIntegrationType] # readPrec :: ReadPrec LatentModelIntegrationType # readListPrec :: ReadPrec [LatentModelIntegrationType] #
Show LatentModelIntegrationType Source #
Instance details Defined in QuantLib.Credit Methods showsPrec :: Int -> LatentModelIntegrationType -> ShowS # show :: LatentModelIntegrationType -> String # showList :: [LatentModelIntegrationType] -> ShowS #
Eq LatentModelIntegrationType Source #
Instance details Defined in QuantLib.Credit Methods (==) :: LatentModelIntegrationType -> LatentModelIntegrationType -> Bool # (/=) :: LatentModelIntegrationType -> LatentModelIntegrationType -> Bool #

Constructors

northAmericaCorpDefaultKey Source #

Arguments

:: Currency	currency
-> Seniority	seniority
-> (Int, TimeUnit)	graceFailureToPay
-> Double	amountFailure
-> RestructuringType	restructuringType
-> IO DefaultProbKey

ISDA standard default contractual key for corporate US debt. restructuringType may be NoRestructuring to disable restructuring as a trigger.

issuer :: NonEmpty (DefaultProbKey, DefaultProbabilityTermStructure) -> IO Issuer Source #

An issuer's default-probability term structures, keyed by contract terms.

pool :: NonEmpty (String, Issuer, DefaultProbKey) -> IO Pool Source #

A named collection of issuers and their default-probability keys.

basket :: Day -> NonEmpty (String, Double) -> Pool -> Double -> Double -> Claim -> DefaultLossModel -> IO TrancheBasket Source #

A tranched basket with a tranche-loss model; usable for CDO pricing.

trancheBasketAsBasket :: TrancheBasket -> Basket Source #

digitalBasket :: Day -> NonEmpty (String, Double) -> Pool -> Double -> Double -> Claim -> DigitalLossModel -> IO DigitalBasket Source #

A digital-loss basket for nth-to-default pricing.

digitalBasketAsBasket :: DigitalBasket -> Basket Source #

gaussianLhpLossModel :: GenQuote q -> NonEmpty Double -> IO DefaultLossModel Source #

One-factor Gaussian-copula LHP loss model. recoveries follow basket-name order.

constantLossModel :: GenQuote q -> NonEmpty Double -> LatentModelIntegrationType -> [Int] -> IO DigitalLossModel Source #

One-factor Gaussian- or Student-T-copula model for digital-loss baskets. [] selects Gaussian; tOrders selects Student-T degrees of freedom.

Inspectors

basketExpectedTrancheLoss Source #

Arguments

:: TrancheBasket
-> Day	d
-> IO Double

Expected tranche loss on date d; requires a tranche-loss model.

basketProbOverLoss Source #

Arguments

:: TrancheBasket
-> Day	d
-> Double	lossFraction
-> IO Double

Probability the tranche loses at least lossFraction of the tranche notional by date d.

basketPercentile Source #

Arguments

:: TrancheBasket
-> Day	d
-> Double	prob
-> IO Double

Tranche loss fraction at the given percentile of the loss distribution on date d (VaR).

basketExpectedShortfall Source #

Arguments

:: TrancheBasket
-> Day	d
-> Double	prob
-> IO Double

Expected tranche loss given loss exceeds the given percentile on date d.

basketDefaultCorrelation Source #

Arguments

:: DigitalBasket
-> Day	d
-> Word	iName
-> Word	jName
-> IO Double

Pearson default-probability correlation between pool names iName and jName (0-based) by date d.

basketProbAtLeastNEvents Source #

Arguments

:: DigitalBasket
-> Word	n
-> Day	d
-> IO Double

Probability of at least n defaults in the basket by date d.

basketNotional :: Basket -> IO Double Source #

Basket total notional at inception, before losses.

basketRemainingNotional Source #

Arguments

:: Basket
-> Day	d
-> IO Double

Live (undefaulted) notional remaining at date d. Loss-model-agnostic.

basketRecoveryRate Source #

Arguments

:: Basket
-> Day	d
-> Word	iName
-> IO Double

Expected recovery rate of the iName-th pool name (0-based, in basket-construction order), conditional on default by date d. Loss-model-agnostic.