QuantLib_LossDistMonteCarlo man page

LossDistMonteCarlo — Loss distribution with Monte Carlo simulation.  


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

Inherits LossDist.

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

Detailed Description

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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Referenced By

The man page LossDistMonteCarlo(3) is an alias of QuantLib_LossDistMonteCarlo(3).

Mon Apr 30 2018 Version 1.12.1 QuantLib