QuantLib_LossDistHomogeneous man page

LossDistHomogeneous — Loss Distribution for Homogeneous Pool.  

Synopsis

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

Inherits LossDist.

Public Member Functions

LossDistHomogeneous (Size nBuckets, Real maximum)
Distribution operator() (Real volume, const std::vector< Real > &probabilities) const
Distribution operator() (const std::vector< Real > &volumes, const std::vector< Real > &probabilities) const
Size buckets () const
Real maximum () const
Size size () const
Real volume () const
std::vector< Real > probability () const
std::vector< Real > excessProbability () const

Additional Inherited Members

Detailed Description

Loss Distribution for Homogeneous Pool.

Loss Distribution for Homogeneous Pool

Loss distribution for equal volumes but varying probabilities of default.

The method builds the exact loss distribution for a homogeneous pool of underlyings iteratively by computing the convolution of the given loss distribution with the 'loss distribution' of an additional credit following

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/na/ma-07-phd.pdf (formula 2.1)

avoiding numerical instability of the algorithm by

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

Author

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Referenced By

LossDistHomogeneous(3) is an alias of QuantLib_LossDistHomogeneous(3).

Fri Feb 10 2017 Version 1.9.1 QuantLib