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<div id="projectbrief">A free/open-source library for quantitative finance</div>
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<li class="navelem"><a class="el" href="namespace_quant_lib.html">QuantLib</a></li><li class="navelem"><a class="el" href="class_quant_lib_1_1_loss_dist.html">LossDist</a></li> </ul>
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<a href="#pub-methods">Public Member Functions</a> |
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<div class="title">LossDist Class Reference<span class="mlabels"><span class="mlabel">abstract</span></span></div> </div>
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<p>Probability formulas and algorithms.
<a href="class_quant_lib_1_1_loss_dist.html#details">More...</a></p>
<p><code>#include <ql/experimental/credit/lossdistribution.hpp></code></p>
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Public Member Functions</h2></td></tr>
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virtual Distribution </td><td class="memItemRight" valign="bottom"><b>operator()</b> (const std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > &volumes, const std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > &probabilities) const =0</td></tr>
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<tr class="memitem:ab143530071a3af08da7f3df1640d33e5"><td class="memItemLeft" align="right" valign="top"><a id="ab143530071a3af08da7f3df1640d33e5"></a>
virtual <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> </td><td class="memItemRight" valign="bottom"><b>buckets</b> () const =0</td></tr>
<tr class="separator:ab143530071a3af08da7f3df1640d33e5"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a6adb04174b3fd47dcf4a4d6a401d563e"><td class="memItemLeft" align="right" valign="top"><a id="a6adb04174b3fd47dcf4a4d6a401d563e"></a>
virtual <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>maximum</b> () const =0</td></tr>
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<tr class="heading"><td colspan="2"><h2 class="groupheader"><a name="pub-static-methods"></a>
Static Public Member Functions</h2></td></tr>
<tr class="memitem:ab82fe26fbce3b5569b04c89ff1323940"><td class="memItemLeft" align="right" valign="top">static <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_loss_dist.html#ab82fe26fbce3b5569b04c89ff1323940">binomialProbabilityOfNEvents</a> (int n, std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > &p)</td></tr>
<tr class="separator:ab82fe26fbce3b5569b04c89ff1323940"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:acf9cea8bbac2609ec13be76d762ea137"><td class="memItemLeft" align="right" valign="top">static <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_loss_dist.html#acf9cea8bbac2609ec13be76d762ea137">binomialProbabilityOfAtLeastNEvents</a> (int n, std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > &p)</td></tr>
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<tr class="memitem:a2d7794e813cefafdac6576166cbdd06b"><td class="memItemLeft" align="right" valign="top">static std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_loss_dist.html#a2d7794e813cefafdac6576166cbdd06b">probabilityOfNEvents</a> (std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > &p)</td></tr>
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static <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>probabilityOfNEvents</b> (int n, std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > &p)</td></tr>
<tr class="separator:aa00098d738a49d32f49d9e57a76bd984"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:aaed4b6db418b52611e4fb134d0cb6b8d"><td class="memItemLeft" align="right" valign="top">static <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_loss_dist.html#aaed4b6db418b52611e4fb134d0cb6b8d">probabilityOfAtLeastNEvents</a> (int n, std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > &p)</td></tr>
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<a name="details" id="details"></a><h2 class="groupheader">Detailed Description</h2>
<div class="textblock"><p>Probability formulas and algorithms. </p>
</div><h2 class="groupheader">Member Function Documentation</h2>
<a id="ab82fe26fbce3b5569b04c89ff1323940"></a>
<h2 class="memtitle"><span class="permalink"><a href="#ab82fe26fbce3b5569b04c89ff1323940">◆ </a></span>binomialProbabilityOfNEvents()</h2>
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<td class="memname">static <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> binomialProbabilityOfNEvents </td>
<td>(</td>
<td class="paramtype">int </td>
<td class="paramname"><em>n</em>, </td>
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<td class="paramkey"></td>
<td></td>
<td class="paramtype">std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > & </td>
<td class="paramname"><em>p</em> </td>
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<p>Binomial probability of n defaults using prob[0] </p>
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<a id="acf9cea8bbac2609ec13be76d762ea137"></a>
<h2 class="memtitle"><span class="permalink"><a href="#acf9cea8bbac2609ec13be76d762ea137">◆ </a></span>binomialProbabilityOfAtLeastNEvents()</h2>
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<td class="memname">static <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> binomialProbabilityOfAtLeastNEvents </td>
<td>(</td>
<td class="paramtype">int </td>
<td class="paramname"><em>n</em>, </td>
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<td class="paramkey"></td>
<td></td>
<td class="paramtype">std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > & </td>
<td class="paramname"><em>p</em> </td>
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<p>Binomial probability of at least n defaults using prob[0] </p>
</div>
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<a id="a2d7794e813cefafdac6576166cbdd06b"></a>
<h2 class="memtitle"><span class="permalink"><a href="#a2d7794e813cefafdac6576166cbdd06b">◆ </a></span>probabilityOfNEvents()</h2>
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<td class="memname">static std::vector<<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a>> probabilityOfNEvents </td>
<td>(</td>
<td class="paramtype">std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > & </td>
<td class="paramname"><em>p</em></td><td>)</td>
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<p>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 <br />
<a href="http://www.cs.toronto.edu/pub/reports/na/ma-07-phd.pdf">http://www.cs.toronto.edu/pub/reports/na/ma-07-phd.pdf</a> (formula 2.1) </p>
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<h2 class="memtitle"><span class="permalink"><a href="#aaed4b6db418b52611e4fb134d0cb6b8d">◆ </a></span>probabilityOfAtLeastNEvents()</h2>
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<td class="memname">static <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> probabilityOfAtLeastNEvents </td>
<td>(</td>
<td class="paramtype">int </td>
<td class="paramname"><em>n</em>, </td>
</tr>
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<td class="paramkey"></td>
<td></td>
<td class="paramtype">std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > & </td>
<td class="paramname"><em>p</em> </td>
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<td>)</td>
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<p>Probability of at least n defaults </p>
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