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)
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< Real >	probability () const
std::vector< Real >	excessProbability () 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< 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 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