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Update reference to 1.33
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@lballabio
lballabio committed Jan 19, 2024
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35 changes: 18 additions & 17 deletions reference/_basket_losses_8cpp-example.html
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<title>QuantLib: BasketLosses.cpp</title>
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<tr style="height: 56px;">
<td id="projectalign" style="padding-left: 0.5em;">
<div id="projectname"><a href="https://www.quantlib.org">QuantLib</a>: a free/open-source library for quantitative finance
<div id="projectnumber">Reference manual - version 1.32</div>
<div id="projectnumber">Reference manual - version 1.33</div>
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<div class="line"> 0.001, 0.01, 0.02, 0.03, 0.04, 0.05, 0.06, 0.07, 0.08, 0.09</div>
<div class="line"> };</div>
<div class="line"> std::vector&lt;std::string&gt; names;</div>
<div class="line"> <span class="keywordflow">for</span>(<a class="code hl_typedef" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> i=0; i&lt;hazardRates.size(); i++)</div>
<div class="line"> <span class="keywordflow">for</span>(Size i=0; i&lt;hazardRates.size(); i++)</div>
<div class="line"> names.push_back(std::string(<span class="stringliteral">&quot;Acme&quot;</span>) + std::to_string(i));</div>
<div class="line"> std::vector&lt;Handle&lt;DefaultProbabilityTermStructure&gt;&gt; defTS;</div>
<div class="line"> <span class="keywordflow">for</span> (<a class="code hl_typedef" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78" title="real number">Real</a>&amp; hazardRate : hazardRates) {</div>
<div class="line"> <span class="keywordflow">for</span> (Real&amp; hazardRate : hazardRates) {</div>
<div class="line"> defTS.emplace_back(</div>
<div class="line"> ext::make_shared&lt;FlatHazardRate&gt;(0, <a class="code hl_class" href="class_quant_lib_1_1_t_a_r_g_e_t.html" title="TARGET calendar">TARGET</a>(), hazardRate, <a id="_a4" name="_a4"></a><a class="code hl_class" href="class_quant_lib_1_1_actual365_fixed.html" title="Actual/365 (Fixed) day count convention.">Actual365Fixed</a>()));</div>
<div class="line"> defTS.back()-&gt;enableExtrapolation();</div>
<div class="line"> }</div>
<div class="line"> std::vector&lt;Issuer&gt; issuers;</div>
<div class="line"> <span class="keywordflow">for</span>(<a class="code hl_typedef" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> i=0; i&lt;hazardRates.size(); i++) {</div>
<div class="line"> <span class="keywordflow">for</span>(Size i=0; i&lt;hazardRates.size(); i++) {</div>
<div class="line"> std::vector&lt;QuantLib::Issuer::key_curve_pair&gt; curves(1, </div>
<div class="line"> std::make_pair(<a id="_a5" name="_a5"></a><a class="code hl_class" href="class_quant_lib_1_1_north_america_corp_default_key.html" title="ISDA standard default contractual key for corporate US debt.">NorthAmericaCorpDefaultKey</a>(</div>
<div class="line"> <a id="_a6" name="_a6"></a><a class="code hl_class" href="class_quant_lib_1_1_e_u_r_currency.html" title="European Euro.">EURCurrency</a>(), QuantLib::SeniorSec,</div>
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<div class="line"> }</div>
<div class="line"> </div>
<div class="line"> <span class="keyword">auto</span> thePool = ext::make_shared&lt;Pool&gt;();</div>
<div class="line"> <span class="keywordflow">for</span>(<a class="code hl_typedef" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> i=0; i&lt;hazardRates.size(); i++)</div>
<div class="line"> <span class="keywordflow">for</span>(Size i=0; i&lt;hazardRates.size(); i++)</div>
<div class="line"> thePool-&gt;add(names[i], issuers[i], <a class="code hl_class" href="class_quant_lib_1_1_north_america_corp_default_key.html" title="ISDA standard default contractual key for corporate US debt.">NorthAmericaCorpDefaultKey</a>(</div>
<div class="line"> <a class="code hl_class" href="class_quant_lib_1_1_e_u_r_currency.html" title="European Euro.">EURCurrency</a>(), QuantLib::SeniorSec, <a class="code hl_class" href="class_quant_lib_1_1_period.html">Period</a>(), 1.));</div>
<div class="line"> </div>
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<div class="line"> </div>
<div class="line"> <a class="code hl_class" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a> calcDate(<a class="code hl_class" href="class_quant_lib_1_1_t_a_r_g_e_t.html" title="TARGET calendar">TARGET</a>().advance(Settings::instance().evaluationDate(),</div>
<div class="line"> <a class="code hl_class" href="class_quant_lib_1_1_period.html">Period</a>(60, Months)));</div>
<div class="line"> <a class="code hl_typedef" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78" title="real number">Real</a> factorValue = 0.05;</div>
<div class="line"> Real factorValue = 0.05;</div>
<div class="line"> std::vector&lt;std::vector&lt;Real&gt;&gt; fctrsWeights(hazardRates.size(),</div>
<div class="line"> std::vector&lt;Real&gt;(1, std::sqrt(factorValue)));</div>
<div class="line"> </div>
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<div class="line"> std::cout &lt;&lt; theBskt-&gt;expectedTrancheLoss(calcDate) &lt;&lt; std::endl;</div>
<div class="line"> </div>
<div class="line"> <span class="comment">// --- G Inhomogeneous model ---------------</span></div>
<div class="line"> <a class="code hl_typedef" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> numSimulations = 100000;</div>
<div class="line"> Size numSimulations = 100000;</div>
<div class="line"><span class="preprocessor"> #ifndef QL_PATCH_SOLARIS</span></div>
<div class="line"> <span class="keyword">auto</span> gLM = ext::make_shared&lt;GaussianConstantLossLM&gt;(fctrsWeights,</div>
<div class="line"> recoveries,</div>
<div class="line"> LatentModelIntegrationType::GaussianQuadrature,</div>
<div class="line"> <span class="comment">// g++ requires this when using make_shared</span></div>
<div class="line"> GaussianCopulaPolicy::initTraits());</div>
<div class="line"> </div>
<div class="line"> <a class="code hl_typedef" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> numBuckets = 100;</div>
<div class="line"> Size numBuckets = 100;</div>
<div class="line"> <span class="keyword">auto</span> inhomogeneousLM = ext::make_shared&lt;IHGaussPoolLossModel&gt;(gLM, numBuckets);</div>
<div class="line"> theBskt-&gt;setLossModel(inhomogeneousLM);</div>
<div class="line"> </div>
Expand All @@ -246,7 +247,7 @@
<div class="line"> <span class="comment">// Sobol, many cores</span></div>
<div class="line"> <span class="keyword">auto</span> rdlmG = ext::make_shared&lt;<a id="_a10" name="_a10"></a><a class="code hl_class" href="class_quant_lib_1_1_random_default_l_m.html">RandomDefaultLM</a>&lt;<a id="_a11" name="_a11"></a><a class="code hl_struct" href="struct_quant_lib_1_1_gaussian_copula_policy.html">GaussianCopulaPolicy</a>,</div>
<div class="line"> <a id="_a12" name="_a12"></a><a class="code hl_class" href="class_quant_lib_1_1_random_sequence_generator.html" title="Random sequence generator based on a pseudo-random number generator.">RandomSequenceGenerator</a>&lt;</div>
<div class="line"> <a id="_a13" name="_a13"></a><a class="code hl_class" href="class_quant_lib_1_1_box_muller_gaussian_rng.html" title="Gaussian random number generator.">BoxMullerGaussianRng&lt;MersenneTwisterUniformRng&gt;</a>&gt;&gt;&gt;(gLM,</div>
<div class="line"> BoxMullerGaussianRng&lt;MersenneTwisterUniformRng&gt;&gt;&gt;&gt;(gLM,</div>
<div class="line"> recoveries, numSimulations, 1.e-6, 2863311530UL);</div>
<div class="line"> <span class="comment">//auto rdlmG = ext::make_shared&lt;RandomDefaultLM&lt;GaussianCopulaPolicy&gt;&gt;(gLM,</span></div>
<div class="line"> <span class="comment">// recoveries, numSimulations, 1.e-6, 2863311530);</span></div>
Expand All @@ -258,9 +259,9 @@
<div class="line"> </div>
<div class="line"> <span class="comment">// --- StudentT Random model ---------------------</span></div>
<div class="line"> <span class="comment">// Sobol, many cores</span></div>
<div class="line"> <span class="keyword">auto</span> rdlmT = ext::make_shared&lt;<a class="code hl_class" href="class_quant_lib_1_1_random_default_l_m.html">RandomDefaultLM</a>&lt;<a id="_a14" name="_a14"></a><a class="code hl_class" href="class_quant_lib_1_1_t_copula_policy.html" title="Student-T Latent Model&#39;s copula policy.">TCopulaPolicy</a>,</div>
<div class="line"> <span class="keyword">auto</span> rdlmT = ext::make_shared&lt;<a class="code hl_class" href="class_quant_lib_1_1_random_default_l_m.html">RandomDefaultLM</a>&lt;<a id="_a13" name="_a13"></a><a class="code hl_class" href="class_quant_lib_1_1_t_copula_policy.html" title="Student-T Latent Model&#39;s copula policy.">TCopulaPolicy</a>,</div>
<div class="line"> <a class="code hl_class" href="class_quant_lib_1_1_random_sequence_generator.html" title="Random sequence generator based on a pseudo-random number generator.">RandomSequenceGenerator</a>&lt;</div>
<div class="line"> <a id="_a15" name="_a15"></a><a class="code hl_class" href="class_quant_lib_1_1_polar_student_t_rng.html" title="Student t random number generator.">PolarStudentTRng&lt;MersenneTwisterUniformRng&gt;</a>&gt;&gt;&gt;(ktTLossLM,</div>
<div class="line"> PolarStudentTRng&lt;MersenneTwisterUniformRng&gt;&gt;&gt;&gt;(ktTLossLM,</div>
<div class="line"> recoveries, numSimulations, 1.e-6, 2863311530UL);</div>
<div class="line"> <span class="comment">//auto rdlmT = ext::make_shared&lt;RandomDefaultLM&lt;TCopulaPolicy&gt;&gt;(ktTLossLM,</span></div>
<div class="line"> <span class="comment">// recoveries, numSimulations, 1.e-6, 2863311530);</span></div>
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<div class="line"><span class="preprocessor"> #ifndef QL_PATCH_SOLARIS</span></div>
<div class="line"> std::vector&lt;std::vector&lt;Real&gt;&gt; fctrsWeightsRR(2 * hazardRates.size(),</div>
<div class="line"> std::vector&lt;Real&gt;(1, std::sqrt(factorValue)));</div>
<div class="line"> <a class="code hl_typedef" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78" title="real number">Real</a> modelA = 2.2;</div>
<div class="line"> Real modelA = 2.2;</div>
<div class="line"> <span class="keyword">auto</span> sptLG = ext::make_shared&lt;GaussianSpotLossLM&gt;(</div>
<div class="line"> fctrsWeightsRR, recoveries, modelA,</div>
<div class="line"> LatentModelIntegrationType::GaussianQuadrature,</div>
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<div class="line"> bcLossPercentages,</div>
<div class="line"> correls,</div>
<div class="line"> <a class="code hl_class" href="class_quant_lib_1_1_actual365_fixed.html" title="Actual/365 (Fixed) day count convention.">Actual365Fixed</a>());</div>
<div class="line"> <a id="_a16" name="_a16"></a><a class="code hl_class" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle&lt;BaseCorrelationTermStructure&lt;BilinearInterpolation&gt;</a>&gt; correlHandle(correlSurface);</div>
<div class="line"> Handle&lt;BaseCorrelationTermStructure&lt;BilinearInterpolation&gt;&gt; correlHandle(correlSurface);</div>
<div class="line"> <span class="keyword">auto</span> bcLMG_LHP_Bilin = ext::make_shared&lt;GaussianLHPFlatBCLM&gt;(correlHandle, recoveries,</div>
<div class="line"> GaussianCopulaPolicy::initTraits());</div>
<div class="line"> </div>
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