LossDistHomogeneous Class Reference

Loss Distribution for Homogeneous Pool. More...

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

Inheritance diagram for LossDistHomogeneous:

Public Member Functions

 LossDistHomogeneous (Size nBuckets, Real maximum, Real epsilon=1e-6)
 
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< Realprobability () const
 
std::vector< RealexcessProbability () 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 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