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GaussianConditionalIndependenceModel#

class GaussianConditionalIndependenceModel(n_normal, normal_max_value, p_zeros, rhos)[source]#

Bases: QuantumCircuit

The Gaussian Conditional Independence Model for Credit Risk. Reference: https://arxiv.org/abs/1412.1183 Dependency between individual risk variables and latent variable is approximated linearly.

Parameters:

  • n_normal (int) – Number of qubits to represent the latent normal random variable Z

  • normal_max_value (float) – Min/max value to truncate the latent normal random variable Z

  • p_zeros (List[float] | ndarray) – Standard default probabilities for each asset

  • rhos (List[float] | ndarray) – Sensitivities of default probability of assets with respect to latent variable Z

Attributes

Methods