# 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

Generated automatically by Doxygen for QuantLib from the source code.

## Referenced By

The man page LossDistHomogeneous(3) is an alias of QuantLib_LossDistHomogeneous(3).