Entity:
CDO 20 78
null  * 
ps0 double 3 false false false

Operation:
P
CDO
double
k int m int 
 query
true
result = StatFunc.comb(sectors[k].n,m) * ( sectors[k].nocontagion(m) + Integer.Sum(1,m - 1,i,sectors[k].contagion(i,m)) )


Operation:
PCond
CDO
double
k int m int 
 query
true
( m >= 1 => result = P(k,m) / ( 1 - ( ( 1 - sectors[k].p )->pow(sectors[k].n) ) ) ) & ( m < 1 => result = 0 )


Operation:
maxfails
CDO
int
k int s int 
 query
true
( sectors[k].n <= ( s / sectors[k].L ) => result = sectors[k].n ) & ( sectors[k].n > ( s / sectors[k].L ) => result = s / sectors[k].L )


Operation:
PS
CDO
double
s int 
 query cached
true
( s < 0 => result = 0 ) & ( s = 0 => result = ps0 ) & ( s > 0 => result = Integer.Sum(1,sectors.size,k,VS(k,s)) / s )


Operation:
VS
CDO
double
k int s int 
 query
true
result = Integer.Sum(1,maxfails(k,s),mk,( sectors[k].mu * mk * sectors[k].L * PCond(k,mk) * PS(s - mk * sectors[k].L) ))


Operation:
PLim
CDO
double
s int 
 query
true
( s <= 0 => result = 1 ) & ( s > 0 => result = 1 - Integer.Sum(1,s - 1,k,PS(k)) )


Entity:
Sector 349 49
null  * 
name String 3 false false false n int 3 false false false p double 3 false false false q double 3 false false false L int 3 false false false mu double 3 false false false

Operation:
nocontagion
Sector
double
m int 
 query cached
true
result = ( ( 1 - p )->pow(n - m) ) * ( p->pow(m) ) * ( ( 1 - q )->pow(m * ( n - m )) )


Operation:
contagion
Sector
double
i int m int 
 query
true
result = ( ( 1 - p )->pow(n - i) ) * ( p->pow(i) ) * ( ( 1 - q )->pow(i * ( n - m )) ) * ( ( 1 - ( ( 1 - q )->pow(i) ) )->pow(m - i) ) * StatFunc.comb(m,i)


Entity:
StatFunc 615 29
null  * 


Operation:
comb
StatFunc
int
n int m int 
 query static
n >= m & m >= 0
( n - m < m => result = Integer.Prd(m + 1,n,i,i) / Integer.Prd(1,n - m,j,j) ) & ( n - m >= m => result = Integer.Prd(n - m + 1,n,i,i) / Integer.Prd(1,m,j,j) )


Entity:
Borrower 682 84
null  * 
name String 3 false false false L int 3 false false false

Entity:
BorrowerInSector 684 237
null  * 
omega double 3 false false false theta double 3 false false false

Association:
CDO Sector 1 173 108 343 184 0 sectors null 
ordered 

Association:
Sector BorrowerInSector 1 544 78 690 234 0 sectorborrowers null 


Association:
BorrowerInSector Borrower 0 789 235 785 145 1 borrower null 






GeneralUseCase:
calculateRisk 



false


Constraint:
s : sectors
true
s.mu = 1 - ( ( 1 - s.p )->pow(s.n) )
CDO calculateRisk
false



Constraint:
null
true
ps0 = -sectors.mu.sum->exp()
CDO calculateRisk
false



Constraint:
null
true
Integer.subrange(0,40)->forAll( s | PLim(s)->display() )
CDO calculateRisk
false







GeneralUseCase:
deriveSectorLoss 



false


Constraint:
null
true
L = sectorborrowers->collect(borrower.L * omega * theta)->sum()->round()
Sector deriveSectorLoss
false