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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_bucketing.html">LossDistBucketing</a></li> </ul>
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<div class="title">LossDistBucketing Class Reference</div> </div>
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<p>Loss distribution with Hull-White bucketing.
<a href="class_quant_lib_1_1_loss_dist_bucketing.html#details">More...</a></p>
<p><code>#include <ql/experimental/credit/lossdistribution.hpp></code></p>
<div id="dynsection-0" onclick="return toggleVisibility(this)" class="dynheader closed" style="cursor:pointer;">
<img id="dynsection-0-trigger" src="closed.png" alt="+"/> Inheritance diagram for LossDistBucketing:</div>
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<area shape="rect" title="Loss distribution with Hull-White bucketing." alt="" coords="5,80,137,107"/>
<area shape="rect" href="class_quant_lib_1_1_loss_dist.html" title="Probability formulas and algorithms." alt="" coords="34,5,109,32"/>
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<table class="memberdecls">
<tr class="heading"><td colspan="2"><h2 class="groupheader"><a name="pub-methods"></a>
Public Member Functions</h2></td></tr>
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 </td><td class="memItemRight" valign="bottom"><b>LossDistBucketing</b> (<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> nBuckets, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> maximum, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> epsilon=1e-6)</td></tr>
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<tr class="memitem:ad47193b571312f99352987c0187c2396"><td class="memItemLeft" align="right" valign="top"><a id="ad47193b571312f99352987c0187c2396"></a>
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</td></tr>
<tr class="separator:ad47193b571312f99352987c0187c2396"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a1bc2df135e29f8b79a702ced936ce875"><td class="memItemLeft" align="right" valign="top"><a id="a1bc2df135e29f8b79a702ced936ce875"></a>
<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> </td><td class="memItemRight" valign="bottom"><b>buckets</b> () const</td></tr>
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<tr class="memitem:a70b1b2ec68318ee5d62c3f509acee2bc"><td class="memItemLeft" align="right" valign="top"><a id="a70b1b2ec68318ee5d62c3f509acee2bc"></a>
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>maximum</b> () const</td></tr>
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Additional Inherited Members</h2></td></tr>
<tr class="inherit_header pub_static_methods_class_quant_lib_1_1_loss_dist"><td colspan="2" onclick="javascript:toggleInherit('pub_static_methods_class_quant_lib_1_1_loss_dist')"><img src="closed.png" alt="-"/> Static Public Member Functions inherited from <a class="el" href="class_quant_lib_1_1_loss_dist.html">LossDist</a></td></tr>
<tr class="memitem:ab82fe26fbce3b5569b04c89ff1323940 inherit pub_static_methods_class_quant_lib_1_1_loss_dist"><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 inherit pub_static_methods_class_quant_lib_1_1_loss_dist"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:acf9cea8bbac2609ec13be76d762ea137 inherit pub_static_methods_class_quant_lib_1_1_loss_dist"><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>
<tr class="separator:acf9cea8bbac2609ec13be76d762ea137 inherit pub_static_methods_class_quant_lib_1_1_loss_dist"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a2d7794e813cefafdac6576166cbdd06b inherit pub_static_methods_class_quant_lib_1_1_loss_dist"><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>
<tr class="separator:a2d7794e813cefafdac6576166cbdd06b inherit pub_static_methods_class_quant_lib_1_1_loss_dist"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:aa00098d738a49d32f49d9e57a76bd984 inherit pub_static_methods_class_quant_lib_1_1_loss_dist"><td class="memItemLeft" align="right" valign="top"><a id="aa00098d738a49d32f49d9e57a76bd984"></a>
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 inherit pub_static_methods_class_quant_lib_1_1_loss_dist"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:aaed4b6db418b52611e4fb134d0cb6b8d inherit pub_static_methods_class_quant_lib_1_1_loss_dist"><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>
<tr class="separator:aaed4b6db418b52611e4fb134d0cb6b8d inherit pub_static_methods_class_quant_lib_1_1_loss_dist"><td class="memSeparator" colspan="2"> </td></tr>
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<a name="details" id="details"></a><h2 class="groupheader">Detailed Description</h2>
<div class="textblock"><p>Loss distribution with Hull-White bucketing. </p>
<p>Loss distribution with Hull-White bucketing</p>
<p>Loss distribution for varying volumes and probabilities of default, independence assumed.</p>
<p>The implementation of the loss distribution follows</p>
<p>John Hull and Alan White, "Valuation of a CDO and nth to default CDS
without Monte Carlo simulation", Journal of Derivatives 12, 2, 2004. </p>
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