QuantLib_LossDist man page

LossDist — Probability formulas and algorithms.

Synopsis

#include <ql/experimental/credit/lossdistribution.hpp>

Inherited by LossDistBinomial, LossDistBucketing, LossDistHomogeneous, and LossDistMonteCarlo.

Public Member Functions

virtual Distribution operator() (const std::vector< Real > &volumes, const std::vector< Real > &probabilities) const =0

virtual Size buckets () const =0

virtual Real maximum () const =0

Static Public Member Functions

static Real binomialProbabilityOfNEvents (int n, std::vector< Real > &p)

static Real binomialProbabilityOfAtLeastNEvents (int n, std::vector< Real > &p)

static std::vector< Real > probabilityOfNEvents (std::vector< Real > &p)

static Real probabilityOfNEvents (int n, std::vector< Real > &p)

static Real probabilityOfAtLeastNEvents (int n, std::vector< Real > &p)

Detailed Description

Probability formulas and algorithms.

Member Function Documentation

static Real binomialProbabilityOfNEvents (int n, std::vector< Real > & p) [static]

Binomial probability of n defaults using prob[0]

static Real binomialProbabilityOfAtLeastNEvents (int n, std::vector< Real > & p) [static]

Binomial probability of at least n defaults using prob[0]

static std::vector<Real> probabilityOfNEvents (std::vector< Real > & p) [static]

Probability of exactly n default events Xiaofong Ma, 'Numerical Methods for the Valuation of Synthetic Collateralized Debt Obligations', PhD Thesis, Graduate Department of Computer Science, University of Toronto, 2007 http://www.cs.toronto.edu/pub/reports/n… (formula 2.1)

static Real probabilityOfAtLeastNEvents (int n, std::vector< Real > & p) [static]

Probability of at least n defaults

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

binomialProbabilityOfAtLeastNEvents(3), binomialProbabilityOfNEvents(3), buckets(3), maximum(3), probabilityOfAtLeastNEvents(3) and probabilityOfNEvents(3) are aliases of QuantLib_LossDist(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib