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 override
Size	buckets () const override
Real	maximum () const override

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< Real >	probabilityOfNEvents (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.

Member Function Documentation

operator()()

Distribution operator() ( const std::vector< Real > & volumes, const std::vector< Real > & probabilities ) const

overridevirtual

Implements LossDist.

buckets()

Size buckets ( ) const

overridevirtual

Implements LossDist.

maximum()

Real maximum ( ) const

overridevirtual

Implements LossDist.