LossDist Class Reference

Probability formulas and algorithms. More...

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

Inheritance diagram for LossDist:

Public Member Functions
virtual Distribution	operator() (const std::vector< Real > &volumes, const std::vector< Real > &probabilities) const =0
virtual Size	buckets () const =0
virtual Real	maximum () const =0

Static Public Member Functions
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

Probability formulas and algorithms.

Member Function Documentation

binomialProbabilityOfNEvents()

static Real binomialProbabilityOfNEvents ( int  n, std::vector< Real > &  p  )

static

Binomial probability of n defaults using prob[0]

binomialProbabilityOfAtLeastNEvents()

static Real binomialProbabilityOfAtLeastNEvents ( int  n, std::vector< Real > &  p  )

static

Binomial probability of at least n defaults using prob[0]

probabilityOfNEvents()

static std::vector<Real> probabilityOfNEvents ( std::vector< Real > &  p )

static

Probability of exactly n default events 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)

probabilityOfAtLeastNEvents()

static Real probabilityOfAtLeastNEvents ( int  n, std::vector< Real > &  p  )

static

Probability of at least n defaults