Class GaussianSpotLossLM

Namespace

NanoQL.Experimental

Assembly

NanoQL.dll

The spot-recovery latent model on the Gaussian copula: QuantLib's typedef GaussianSpotLossLM.

[Experimental("NQL0001")]
public sealed class GaussianSpotLossLM : SpotRecoveryLatentModel<GaussianCopulaPolicy, GaussianCopulaPolicyInitTraits>

Inheritance

object

LatentModel<GaussianCopulaPolicy, GaussianCopulaPolicyInitTraits>

SpotRecoveryLatentModel<GaussianCopulaPolicy, GaussianCopulaPolicyInitTraits>

GaussianSpotLossLM

Inherited Members

SpotRecoveryLatentModel<GaussianCopulaPolicy, GaussianCopulaPolicyInitTraits>.ResetBasket(Basket)

SpotRecoveryLatentModel<GaussianCopulaPolicy, GaussianCopulaPolicyInitTraits>.ConditionalDefaultProbability(Date, int, ReadOnlySpan<double>)

SpotRecoveryLatentModel<GaussianCopulaPolicy, GaussianCopulaPolicyInitTraits>.ConditionalDefaultProbability(double, int, ReadOnlySpan<double>)

SpotRecoveryLatentModel<GaussianCopulaPolicy, GaussianCopulaPolicyInitTraits>.ConditionalDefaultProbabilityInvP(double, int, ReadOnlySpan<double>)

SpotRecoveryLatentModel<GaussianCopulaPolicy, GaussianCopulaPolicyInitTraits>.ExpCondRecovery(Date, int, ReadOnlySpan<double>)

SpotRecoveryLatentModel<GaussianCopulaPolicy, GaussianCopulaPolicyInitTraits>.ExpCondRecoveryP(double, int, ReadOnlySpan<double>)

SpotRecoveryLatentModel<GaussianCopulaPolicy, GaussianCopulaPolicyInitTraits>.ExpCondRecoveryInvPinvRR(double, double, int, ReadOnlySpan<double>)

SpotRecoveryLatentModel<GaussianCopulaPolicy, GaussianCopulaPolicyInitTraits>.ConditionalRecovery(double, int, Date)

SpotRecoveryLatentModel<GaussianCopulaPolicy, GaussianCopulaPolicyInitTraits>.LatentRRVarValue(ReadOnlySpan<double>, int)

SpotRecoveryLatentModel<GaussianCopulaPolicy, GaussianCopulaPolicyInitTraits>.Basket

SpotRecoveryLatentModel<GaussianCopulaPolicy, GaussianCopulaPolicyInitTraits>.Recoveries

LatentModel<GaussianCopulaPolicy, GaussianCopulaPolicyInitTraits>.FromCorrelation(double, int, GaussianCopulaPolicyInitTraits)

LatentModel<GaussianCopulaPolicy, GaussianCopulaPolicyInitTraits>.CumulativeY(double, int)

LatentModel<GaussianCopulaPolicy, GaussianCopulaPolicyInitTraits>.CumulativeZ(double)

LatentModel<GaussianCopulaPolicy, GaussianCopulaPolicyInitTraits>.Density(ReadOnlySpan<double>)

LatentModel<GaussianCopulaPolicy, GaussianCopulaPolicyInitTraits>.InverseCumulativeDensity(double, int)

LatentModel<GaussianCopulaPolicy, GaussianCopulaPolicyInitTraits>.InverseCumulativeY(double, int)

LatentModel<GaussianCopulaPolicy, GaussianCopulaPolicyInitTraits>.InverseCumulativeZ(double)

LatentModel<GaussianCopulaPolicy, GaussianCopulaPolicyInitTraits>.AllFactorCumulInverter(ReadOnlySpan<double>)

LatentModel<GaussianCopulaPolicy, GaussianCopulaPolicyInitTraits>.LatentVarValue(ReadOnlySpan<double>, int)

LatentModel<GaussianCopulaPolicy, GaussianCopulaPolicyInitTraits>.LatentVariableCorrel(int, int)

LatentModel<GaussianCopulaPolicy, GaussianCopulaPolicyInitTraits>.IntegratedExpectedValue(MultidimIntegrand)

LatentModel<GaussianCopulaPolicy, GaussianCopulaPolicyInitTraits>.IntegratedExpectedValueV(MultidimVectorIntegrand)

LatentModel<GaussianCopulaPolicy, GaussianCopulaPolicyInitTraits>.Size

LatentModel<GaussianCopulaPolicy, GaussianCopulaPolicyInitTraits>.NumFactors

LatentModel<GaussianCopulaPolicy, GaussianCopulaPolicyInitTraits>.NumTotalFactors

LatentModel<GaussianCopulaPolicy, GaussianCopulaPolicyInitTraits>.FactorWeights

LatentModel<GaussianCopulaPolicy, GaussianCopulaPolicyInitTraits>.IdiosyncFctrs

LatentModel<GaussianCopulaPolicy, GaussianCopulaPolicyInitTraits>.Copula

object.GetType()

object.ToString()

object.Equals(object)

object.Equals(object, object)

object.ReferenceEquals(object, object)

object.GetHashCode()

Constructors

GaussianSpotLossLM(IReadOnlyList<IReadOnlyList<double>>, IReadOnlyList<double>, double, LatentModelIntegrationType, GaussianCopulaPolicyInitTraits)

Initializes a new instance of the GaussianSpotLossLM class.

public GaussianSpotLossLM(IReadOnlyList<IReadOnlyList<double>> factorWeights, IReadOnlyList<double> recoveries, double modelA, LatentModelIntegrationType integralType, GaussianCopulaPolicyInitTraits initTraits = default)

Parameters

factorWeights IReadOnlyList<IReadOnlyList<double>>

The weights of the n default variables, then of the n recovery variables.

recoveries IReadOnlyList<double>

The names' recoveries.

modelA double

The model's parameter A, not 0.

integralType LatentModelIntegrationType

The integration's type.

initTraits GaussianCopulaPolicyInitTraits

The policy's initialization parameters.

Exceptions

ArgumentNullException

A list is null.

ArgumentException

The weights' rows are odd in number, the recoveries don't match the names, or A is 0.