lballabio/quantlib — pull request #134 by japari (2014-09-14 08:17:25+00:00)
Title: Loss latent models

Contains a framework for defaultable baskets metrics models. Most current code is centered on latent models and cash baskets. Future developments include counterparty positions baskets and bonds. See wiki in progress. Latent models can be integrated or simulated.

Apologies for the large PR but I wanted it to be stable. There is still quite a few additions to come in the future. Most code is to lie in the experimental section. Some of the previous code which is to become redundant is left there to await for discussions/input from the rest of the group. Test cases use the new code.