LossDistBucketing Class Reference

Loss distribution with Hull-White bucketing. More...

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

Inheritance diagram for LossDistBucketing:

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

- Static Public Member Functions inherited from LossDist
static Real binomialProbabilityOfNEvents (int n, std::vector< Real > &p)
 
static Real binomialProbabilityOfAtLeastNEvents (int n, std::vector< Real > &p)
 
static std::vector< RealprobabilityOfNEvents (std::vector< Real > &p)
 
static Real probabilityOfNEvents (int n, std::vector< Real > &p)
 
static Real probabilityOfAtLeastNEvents (int n, std::vector< Real > &p)
 

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.