LossDistMonteCarlo Class Reference

Loss distribution with Monte Carlo simulation. More...

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

Inheritance diagram for LossDistMonteCarlo:

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 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 Monte Carlo simulation.

Loss distribution for varying volumes and probabilities of default via Monte Carlo simulation of independent default events.

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.