Basket

`#include <ql/experimental/credit/basket.hpp>`

Inherits **LazyObject**.

**Public Member Functions**

**Basket** (const **Date** &**refDate**, const std::vector< std::string > &**names**, const std::vector< **Real** > &**notionals**, const boost::shared_ptr< Pool > **pool**, **Real attachmentRatio**=0.0, **Real detachmentRatio**=1.0, const boost::shared_ptr< **Claim** > &**claim**=boost::shared_ptr< **Claim** >(new **FaceValueClaim**()))

void **update** ()

void **computeBasket** () const **
Size size** () const

Basket

const std::vector< std::string > &

Basket

const std::vector<

Basket

Real notional

Basket

Real exposure

Returns the total expected exposures for that name.

const boost::shared_ptr< Pool > &

Underlying pool.

Disposable

The keys each counterparty enters the basket with (sensitive to)

const

Basket

Real attachmentRatio

Real detachmentRatio

Detachment point expressed as a fraction of the total pool notional.

Real basketNotional

Original basket notional ignoring any losses.

Real trancheNotional

Original tranche notional ignoring any realized losses.

Real attachmentAmount

Attachment amount =

Real detachmentAmount

Detachment amount =

boost::shared_ptr<

default claim, same for all positions and counterparties

Disposable

Real settledLoss

Real settledLoss

Real cumulatedLoss

Real cumulatedLoss

Real remainingNotional

Real remainingNotional

const std::vector<

Disposable

const std::vector< std::string > &

Disposable

const std::vector<

Disposable

Size remainingSize

Number of counterparties alive on the requested date.

Size remainingSize

Disposable

Real remainingAttachmentAmount

Real remainingAttachmentAmount

Real remainingDetachmentAmount

Real remainingDetachmentAmount

Real remainingTrancheNotional

Remaining basket tranched notional on calculation date.

Real remainingTrancheNotional

const std::vector<

Indexes of remaining names. Notice these are names and not positions.

Disposable

void

Assigns the default loss model to this basket. Resets calculations.

**Basket Loss Statistics**

Methods providing statistical metrics on the loss or value distribution of the basket. Most calculations rely on the pressence of a model assigned to the basket.

**Real expectedTrancheLoss** (const **Date** &d) const **
Probability probOverLoss** (const

Real percentile

Real expectedShortfall

Disposable

Disposable

Real densityTrancheLoss

Real defaultCorrelation

std::vector<

Probability probAtLeastNEvents

Real recoveryRate

**Additional Inherited Members**

Credit **Basket**.

A basket is a collection of credit names, represented by a unique identifier (a text string), associated notional amounts, a pool and tranche information. The pool is a map of ’names’ to issuers. The **Basket** structure is motivated by **CDO** squared instruments containing various underlying inner CDOs which can be represented by respective baskets including their tranche structure. The role of the Pool is providing a unique list of relevant issuers while names may appear multiple times across different baskets (overlap).

**Basket (const Date & refDate, const std::vector< std::string > & names, const std::vector< Real > & notionals, const boost::shared_ptr< Pool > pool, Real attachmentRatio =** `0.0`**, Real detachmentRatio =** `1.0`**, const boost::shared_ptr< Claim > & claim =** `boost::shared_ptr<` **Claim** `>(new` **FaceValueClaim**`())`**)**

Constructs a basket of simple collection of constant notional positions subject to default risk only.

The refDate parameter is the basket inception date, that is, the date at which defaultable events are relevant. (There are no constraints on forward baskets but models assigned should be consistent.)

**void update ()** `[virtual]`

This method must be implemented in derived classes. An instance of Observer does not call this method directly: instead, it will be called by the observables the instance registered with when they need to notify any changes.

Implements **Observer**.

**const Date& refDate () const
Basket** inception date. Loss Given Default for all issuers/notionals based on expected recovery rates for the respective issuers.

**Real attachmentRatio () const**

Attachment point expressed as a fraction of the total inception notional.

**Disposable<std::vector<Probability> > probabilities (const Date & d) const**

Vector of cumulative default probability to date d for all issuers in the basket.

**Real settledLoss () const**

Realized basket losses between the reference date and the calculation date, taking the actual recovery rates of loss events into account. Only default events that have settled (have a realized RR) are accounted for. For contingent losses after a default you need to compute the losses through a **DefaultLossModel**

Optionally one can pass a date in the future and that will collect events stored in the issuers list. This shows the effect of ’programmed’ (after today’s) events on top of past ones. The intention is to be used in risk analysis (jump to default, etc).

**Real cumulatedLoss () const**

Actual basket losses between the reference date and the calculation date, taking the actual recovery rates of loss events into account. If the event has not settled yet a model driven recovery is used.

Returns the realized losses in this portfolio since the portfolio default reference date. This method relies on an implementation of the loss given default since the events have not necessarily settled.

**Real remainingNotional () const**

Remaining full basket (untranched) notional after settled losses between the reference date and the given date. The full notional for defaulted names is subracted, recovery ignored.

**const std::vector< Real > & remainingNotionals () const**

Vector of surviving notionals after settled losses between the reference date and the given date, recovery ignored.

**const std::vector< std::string > & remainingNames () const**

Vector of surviving issuers after defaults between the reference basket date and the given (or evaluation) date.

**const std::vector< DefaultProbKey > & remainingDefaultKeys () const**

Default keys of non defaulted counterparties

**Disposable<std::vector<Probability> > remainingProbabilities (const Date & d) const**

Vector of cumulative default probability to date d for all issuers still (at the evaluation date) alive in the basket.

**Real remainingAttachmentAmount () const**

Attachment amount of the equivalent (after defaults) remaining basket The remaining attachment amount is RAA = max (0, attachmentAmount - **cumulatedLoss()**)

The remaining attachment ratio is then RAR = RAA / **remainingNotional()**

**Real remainingDetachmentAmount () const**

Detachment amount of the equivalent remaining basket. The remaining detachment amount is RDA = max (0, detachmentAmount - **cumulatedLoss()**)

The remaining detachment ratio is then RDR = RDA / **remainingNotional()**

**Real remainingTrancheNotional (const Date & endDate) const**

Expected basket tranched notional on the requested date according to the basket model. Model should have been assigned.

**Probability probOverLoss (const Date & d, Real lossFraction) const**

The lossFraction is the fraction of losses expressed in inception (no losses) tranche units (e.g. ’attach level’=0%, ’detach level’=100%)

**Real expectedShortfall (const Date & d, Probability prob) const**

ESF

**Disposable<std::map<Real, Probability> > lossDistribution (const Date &) const**

Full loss distribution

**std::vector<Probability> probsBeingNthEvent (Size n, const Date & d) const**

Probability vector that each of the remaining live names (at eval date) is the n-th default by date d.

The n parameter is the internal index to the name; it should be alive at the evaluation date.

---------TO DO: Implement with a string passed---------------------- ---------TO DO: Perform check the name is alive---------------------

**Probability probAtLeastNEvents (Size n, const Date & d) const**

Returns the probaility of having a given or larger number of defaults in the basket portfolio at a given time.

**Real recoveryRate (const Date & d, Size iName) const**

Expected recovery rate of the underlying position as a fraction of its exposure value at date d *given* it has defaulted *on* that date. NOTICE THE ARG IS THE CTPTY....SHOULDNT IT BE THE POSITION/INSTRUMENT?????<<<<<<<<<<<<<<<<<<<<<<<

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