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8 | 8 | <title>QuantLib: BasketLosses.cpp</title> |
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33 | 33 | <td id="projectalign" style="padding-left: 0.5em;"> |
34 | 34 | <div id="projectname"><a href="https://www.quantlib.org">QuantLib</a>: a free/open-source library for quantitative finance |
35 | | - <div id="projectnumber">Reference manual - version 1.42.1</div> |
| 35 | + <div id="projectnumber">Reference manual - version 1.43</div> |
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197 | 220 | <div class="line"> fctrsWeights[0][0] * fctrsWeights[0][0], recoveries);</div> |
198 | 221 | <div class="line"> theBskt->setLossModel(lmGLHP);</div> |
199 | 222 | <div class="line"> </div> |
200 | | -<div class="line"> std::cout << <span class="stringliteral">"GLHP Expected 10-Yr Losses: "</span> << std::endl;</div> |
| 223 | +<div class="line"> std::cout << <span class="stringliteral">"GLHP Expected 5-Yr Losses: "</span> << std::endl;</div> |
201 | 224 | <div class="line"> std::cout << theBskt->expectedTrancheLoss(calcDate) << std::endl;</div> |
202 | 225 | <div class="line"> </div> |
203 | 226 | <div class="line"> <span class="comment">// --- G Binomial model --------------------</span></div> |
|
207 | 230 | <div class="line"> <span class="keyword">auto</span> lmBinomial = ext::make_shared<GaussianBinomialLossModel>(ktLossLM);</div> |
208 | 231 | <div class="line"> theBskt->setLossModel(lmBinomial);</div> |
209 | 232 | <div class="line"> </div> |
210 | | -<div class="line"> std::cout << <span class="stringliteral">"Gaussian Binomial Expected 10-Yr Losses: "</span> << std::endl;</div> |
| 233 | +<div class="line"> std::cout << <span class="stringliteral">"Gaussian Binomial Expected 5-Yr Losses: "</span> << std::endl;</div> |
211 | 234 | <div class="line"> std::cout << theBskt->expectedTrancheLoss(calcDate) << std::endl;</div> |
212 | 235 | <div class="line"> </div> |
213 | 236 | <div class="line"><span class="preprocessor"> #endif</span></div> |
|
223 | 246 | <div class="line"> <span class="keyword">auto</span> lmTBinomial = ext::make_shared<TBinomialLossModel>(ktTLossLM);</div> |
224 | 247 | <div class="line"> theBskt->setLossModel(lmTBinomial);</div> |
225 | 248 | <div class="line"> </div> |
226 | | -<div class="line"> std::cout << <span class="stringliteral">"T Binomial Expected 10-Yr Losses: "</span> << std::endl;</div> |
| 249 | +<div class="line"> std::cout << <span class="stringliteral">"T Binomial Expected 5-Yr Losses: "</span> << std::endl;</div> |
227 | 250 | <div class="line"> std::cout << theBskt->expectedTrancheLoss(calcDate) << std::endl;</div> |
228 | 251 | <div class="line"> </div> |
229 | 252 | <div class="line"> <span class="comment">// --- G Inhomogeneous model ---------------</span></div> |
|
239 | 262 | <div class="line"> <span class="keyword">auto</span> inhomogeneousLM = ext::make_shared<IHGaussPoolLossModel>(gLM, numBuckets);</div> |
240 | 263 | <div class="line"> theBskt->setLossModel(inhomogeneousLM);</div> |
241 | 264 | <div class="line"> </div> |
242 | | -<div class="line"> std::cout << <span class="stringliteral">"G Inhomogeneous Expected 10-Yr Losses: "</span> << std::endl;</div> |
| 265 | +<div class="line"> std::cout << <span class="stringliteral">"G Inhomogeneous Expected 5-Yr Losses: "</span> << std::endl;</div> |
243 | 266 | <div class="line"> std::cout << theBskt->expectedTrancheLoss(calcDate) << std::endl;</div> |
244 | 267 | <div class="line"> </div> |
245 | 268 | <div class="line"> <span class="comment">// --- G Random model ---------------------</span></div> |
|
254 | 277 | <div class="line"> <span class="comment">// recoveries, numSimulations, 1.e-6, 2863311530);</span></div> |
255 | 278 | <div class="line"> theBskt->setLossModel(rdlmG);</div> |
256 | 279 | <div class="line"> </div> |
257 | | -<div class="line"> std::cout << <span class="stringliteral">"Random G Expected 10-Yr Losses: "</span> << std::endl;</div> |
| 280 | +<div class="line"> std::cout << <span class="stringliteral">"Random G Expected 5-Yr Losses: "</span> << std::endl;</div> |
258 | 281 | <div class="line"> std::cout << theBskt->expectedTrancheLoss(calcDate) << std::endl;</div> |
259 | 282 | <div class="line"><span class="preprocessor"> #endif</span></div> |
260 | 283 | <div class="line"> </div> |
|
268 | 291 | <div class="line"> <span class="comment">// recoveries, numSimulations, 1.e-6, 2863311530);</span></div> |
269 | 292 | <div class="line"> theBskt->setLossModel(rdlmT);</div> |
270 | 293 | <div class="line"> </div> |
271 | | -<div class="line"> std::cout << <span class="stringliteral">"Random T Expected 10-Yr Losses: "</span> << std::endl;</div> |
| 294 | +<div class="line"> std::cout << <span class="stringliteral">"Random T Expected 5-Yr Losses: "</span> << std::endl;</div> |
272 | 295 | <div class="line"> std::cout << theBskt->expectedTrancheLoss(calcDate) << std::endl;</div> |
273 | 296 | <div class="line"> </div> |
274 | 297 | <div class="line"> </div> |
|
293 | 316 | <div class="line"> numSimulations, 1.e-6, 2863311530UL);</div> |
294 | 317 | <div class="line"> theBskt->setLossModel(rdLlmG);</div> |
295 | 318 | <div class="line"> </div> |
296 | | -<div class="line"> std::cout << <span class="stringliteral">"Random Loss G Expected 10-Yr Losses: "</span> << std::endl;</div> |
| 319 | +<div class="line"> std::cout << <span class="stringliteral">"Random Loss G Expected 5-Yr Losses: "</span> << std::endl;</div> |
297 | 320 | <div class="line"> std::cout << theBskt->expectedTrancheLoss(calcDate) << std::endl;</div> |
298 | 321 | <div class="line"> </div> |
299 | 322 | <div class="line"> <span class="comment">// --- T Random Loss model ---------------------</span></div> |
|
303 | 326 | <div class="line"> numSimulations, 1.e-6, 2863311530UL);</div> |
304 | 327 | <div class="line"> theBskt->setLossModel(rdLlmT);</div> |
305 | 328 | <div class="line"> </div> |
306 | | -<div class="line"> std::cout << <span class="stringliteral">"Random Loss T Expected 10-Yr Losses: "</span> << std::endl;</div> |
| 329 | +<div class="line"> std::cout << <span class="stringliteral">"Random Loss T Expected 5-Yr Losses: "</span> << std::endl;</div> |
307 | 330 | <div class="line"> std::cout << theBskt->expectedTrancheLoss(calcDate) << std::endl;</div> |
308 | 331 | <div class="line"> </div> |
309 | 332 | <div class="line"> <span class="comment">// Base Correlation model set up to test coherence with base LHP model</span></div> |
|
342 | 365 | <div class="line"> </div> |
343 | 366 | <div class="line"> theBskt->setLossModel(bcLMG_LHP_Bilin);</div> |
344 | 367 | <div class="line"> </div> |
345 | | -<div class="line"> std::cout << <span class="stringliteral">"Base Correlation GLHP Expected 10-Yr Losses: "</span> </div> |
| 368 | +<div class="line"> std::cout << <span class="stringliteral">"Base Correlation GLHP Expected 5-Yr Losses: "</span> </div> |
346 | 369 | <div class="line"> << std::endl;</div> |
347 | 370 | <div class="line"> std::cout << theBskt->expectedTrancheLoss(calcDate) << std::endl;</div> |
348 | 371 | <div class="line"><span class="preprocessor"> #endif</span></div> |
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