Interface IDefaultLossModel

Namespace

NanoQL.Experimental

Assembly

NanoQL.dll

A default loss model: the basket's contract with the algorithms that give its joint loss statistics (latent models, top-down models). QuantLib's DefaultLossModel, whose abstract class form is DefaultLossModel.

[Experimental("NQL0001")]
public interface IDefaultLossModel

Remarks

A model is an immutable configuration until it is bound: SetBasket(Basket) returns a copy bound to a basket, its per-basket precomputation run once there (QuantLib's resetModel), and a basket's SetLossModel(IDefaultLossModel?) binds it. Every statistic is a member with a body that refuses, with QuantLib's text, unless the model implements it; QuantLib's protected statistics are public here, the basket reading them through this interface.

An interface, beside the abstract class, so that a model with another base implements the contract over it, as QuantLib's constant-loss and Gaussian LHP models derive their latent model beside the loss model.

Properties

Basket

Gets the basket the model is bound to, or null before it is bound.

Basket? Basket { get; }

Property Value

Basket

Methods

DefaultCorrelation(Date, int, int)

Pearson's correlation of two names' default indicators by a date.

double DefaultCorrelation(Date d, int iName, int jName)

Parameters

d Date

The date.

iName int

The first name.

jName int

The second name.

Returns

double

The correlation.

Exceptions

NanoQLException

The model doesn't implement it.

DensityTrancheLoss(Date, double)

The probability density of a loss fraction of the basket's notional.

double DensityTrancheLoss(Date d, double lossFraction)

Parameters

d Date

The date.

lossFraction double

The fraction.

Returns

double

The density.

Exceptions

NanoQLException

The model doesn't implement it.

ExpectedRecovery(Date, int, DefaultProbKey)

A name's expected recovery rate conditional on its default by a date.

double ExpectedRecovery(Date d, int iName, DefaultProbKey defaultKey)

Parameters

d Date

The date.

iName int

The name.

defaultKey DefaultProbKey

The name's default key.

Returns

double

The recovery.

Exceptions

NanoQLException

The model doesn't implement it.

ExpectedShortfall(Date, double)

The expected shortfall at a percentile of the default loss.

double ExpectedShortfall(Date d, double percentile)

Parameters

d Date

The date.

percentile double

The percentile.

Returns

double

The shortfall.

Exceptions

NanoQLException

The model doesn't implement it.

ExpectedTrancheLoss(Date)

The expected tranche loss by a date, an amount.

double ExpectedTrancheLoss(Date d)

Parameters

d Date

The date.

Returns

double

The loss.

Exceptions

NanoQLException

The model doesn't implement it.

LossDistribution(Date)

The full loss distribution: each loss level's probability.

ImmutableSortedDictionary<double, double> LossDistribution(Date d)

Parameters

d Date

The date.

Returns

ImmutableSortedDictionary<double, double>

The distribution.

Exceptions

NanoQLException

The model doesn't implement it.

Percentile(Date, double)

The value at risk at a percentile of the default loss.

double Percentile(Date d, double percentile)

Parameters

d Date

The date.

percentile double

The percentile.

Returns

double

The loss.

Exceptions

NanoQLException

The model doesn't implement it.

ProbAtLeastNEvents(int, Date)

The probability of a number of defaults or more in the basket by a date.

double ProbAtLeastNEvents(int n, Date d)

Parameters

n int

The number.

d Date

The date.

Returns

double

The probability.

Exceptions

NanoQLException

The model doesn't implement it.

ProbOverLoss(Date, double)

The probability of the tranche losing a fraction of its notional or more.

double ProbOverLoss(Date d, double lossFraction)

Parameters

d Date

The date.

lossFraction double

The fraction of the tranche's notional.

Returns

double

The probability.

Exceptions

NanoQLException

The model doesn't implement it.

ProbsBeingNthEvent(int, Date)

Each live name's probability of having defaulted by a date as the n-th default of the basket, in pool order.

ImmutableArray<double> ProbsBeingNthEvent(int n, Date d)

Parameters

n int

The default's order.

d Date

The date.

Returns

ImmutableArray<double>

The probabilities.

Exceptions

NanoQLException

The model doesn't implement it.

SetBasket(Basket)

A copy of the model bound to a basket: to its live names, over its restated tranche where names have defaulted.

IDefaultLossModel SetBasket(Basket basket)

Parameters

basket Basket

The basket.

Returns

IDefaultLossModel

The bound model.

SplitESFLevel(Date, double)

Each name's share of an expected-shortfall loss level.

ImmutableArray<double> SplitESFLevel(Date d, double loss)

Parameters

d Date

The date.

loss double

The loss level.

Returns

ImmutableArray<double>

The shares, by live name.

Exceptions

NanoQLException

The model doesn't implement it.

SplitVaRLevel(Date, double)

Each name's share of a value-at-risk loss level.

ImmutableArray<double> SplitVaRLevel(Date d, double loss)

Parameters

d Date

The date.

loss double

The loss level.

Returns

ImmutableArray<double>

The shares, by live name.

Exceptions

NanoQLException

The model doesn't implement it.