QuantLib_LossDistBucketing man page

LossDistBucketing — Loss distribution with Hull-White bucketing.  


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

Inherits LossDist.

Public Member Functions

LossDistBucketing (Size nBuckets, Real maximum, Real epsilon=1e-6)
Distribution operator() (const std::vector< Real > &volumes, const std::vector< Real > &probabilities) const
Size buckets () const
Real maximum () const

Additional Inherited Members

Detailed Description

Loss distribution with Hull-White bucketing.

Loss distribution with Hull-White bucketing

Loss distribution for varying volumes and probabilities of default, independence assumed.

The implementation of the loss distribution follows

John Hull and Alan White, 'Valuation of a CDO and nth to default CDS  without Monte Carlo simulation', Journal of Derivatives 12, 2, 2004.


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Referenced By

The man page LossDistBucketing(3) is an alias of QuantLib_LossDistBucketing(3).

Mon Apr 30 2018 Version 1.12.1 QuantLib