QuantLib_LossDistMonteCarlo man page
LossDistMonteCarlo — Loss distribution with Monte Carlo simulation.
Public Member Functions
LossDistMonteCarlo (Size nBuckets, Real maximum, Size simulations, long seed=42, 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
Loss distribution with Monte Carlo simulation.
Loss distribution for varying volumes and probabilities of default via Monte Carlo simulation of independent default events.
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LossDistMonteCarlo(3) is an alias of QuantLib_LossDistMonteCarlo(3).