Binomial loss distribution. More...
#include <ql/experimental/credit/lossdistribution.hpp>
Inheritance diagram for LossDistBinomial:
Collaboration diagram for LossDistBinomial:
Public Member Functions | |
| LossDistBinomial (Size nBuckets, Real maximum) | |
| Distribution | operator() (Size n, Real volume, Real probability) const |
| Distribution | operator() (const std::vector< Real > &volumes, const std::vector< Real > &probabilities) const override |
| Size | buckets () const override |
| Real | maximum () const override |
| Real | volume () const |
| Size | size () const |
| std::vector< Real > | probability () const |
| std::vector< Real > | excessProbability () const |
| Public Member Functions inherited from LossDist | |
| LossDist ()=default | |
| virtual | ~LossDist ()=default |
| 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 |
Private Attributes | |
| Size | nBuckets_ |
| Real | maximum_ |
| Real | volume_ |
| Size | n_ |
| std::vector< Real > | probability_ |
| std::vector< Real > | excessProbability_ |
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
Binomial loss distribution.
Binomial loss distribution
Definition at line 101 of file lossdistribution.hpp.
Constructor & Destructor Documentation
◆ LossDistBinomial()
| LossDistBinomial | ( | Size | nBuckets, |
| Real | maximum | ||
| ) |
Definition at line 103 of file lossdistribution.hpp.
Member Function Documentation
◆ operator()() [1/2]
| Distribution operator() | ( | Size | n, |
| Real | volume, | ||
| Real | probability | ||
| ) | const |
Definition at line 146 of file lossdistribution.cpp.
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◆ operator()() [2/2]
|
overridevirtual |
Implements LossDist.
Definition at line 175 of file lossdistribution.cpp.
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◆ buckets()
|
overridevirtual |
Implements LossDist.
Definition at line 108 of file lossdistribution.hpp.
◆ maximum()
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overridevirtual |
Implements LossDist.
Definition at line 109 of file lossdistribution.hpp.
◆ volume()
| Real volume | ( | ) | const |
◆ size()
| Size size | ( | ) | const |
Definition at line 111 of file lossdistribution.hpp.
◆ probability()
| std::vector< Real > probability | ( | ) | const |
◆ excessProbability()
| std::vector< Real > excessProbability | ( | ) | const |
Definition at line 113 of file lossdistribution.hpp.
Member Data Documentation
◆ nBuckets_
|
private |
Definition at line 115 of file lossdistribution.hpp.
◆ maximum_
|
private |
Definition at line 116 of file lossdistribution.hpp.
◆ volume_
|
mutableprivate |
Definition at line 117 of file lossdistribution.hpp.
◆ n_
|
mutableprivate |
Definition at line 118 of file lossdistribution.hpp.
◆ probability_
|
mutableprivate |
Definition at line 119 of file lossdistribution.hpp.
◆ excessProbability_
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mutableprivate |
Definition at line 120 of file lossdistribution.hpp.