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

LossDistBucketing(3) is an alias of QuantLib_LossDistBucketing(3).

QuantLib Version 1.8.1 Fri Sep 23 2016