Loss distribution with Hull-White bucketing. More...
#include <ql/experimental/credit/lossdistribution.hpp>
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 | |
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static Real | binomialProbabilityOfNEvents (int n, std::vector< Real > &p) |
static Real | binomialProbabilityOfAtLeastNEvents (int n, std::vector< Real > &p) |
static std::vector< Real > | probabilityOfNEvents (std::vector< Real > &p) |
static Real | probabilityOfNEvents (int n, std::vector< Real > &p) |
static Real | probabilityOfAtLeastNEvents (int n, std::vector< Real > &p) |
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.