LossDist Class Reference

Probability formulas and algorithms. More...

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

Inheritance diagram for LossDist:

Collaboration diagram for LossDist:

Public Member Functions
	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

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.

Definition at line 37 of file lossdistribution.hpp.

Constructor & Destructor Documentation

LossDist()

LossDist ( )

default

~LossDist()

virtual ~LossDist ( )

virtualdefault

Member Function Documentation

operator()()

virtual Distribution operator() ( const std::vector< Real > &  volumes, const std::vector< Real > &  probabilities  ) const

pure virtual

Implemented in LossDistBinomial, LossDistHomogeneous, LossDistBucketing, and LossDistMonteCarlo.

buckets()

virtual Size buckets ( ) const

pure virtual

Implemented in LossDistBinomial, LossDistHomogeneous, LossDistBucketing, and LossDistMonteCarlo.

maximum()

virtual Real maximum ( ) const

pure virtual

Implemented in LossDistBinomial, LossDistHomogeneous, LossDistBucketing, and LossDistMonteCarlo.

binomialProbabilityOfNEvents()

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

static

Binomial probability of n defaults using prob[0]

Definition at line 28 of file lossdistribution.cpp.

binomialProbabilityOfAtLeastNEvents()

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

static

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

Definition at line 35 of file lossdistribution.cpp.

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probabilityOfNEvents() [1/2]

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)

Definition at line 49 of file lossdistribution.cpp.

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probabilityOfNEvents() [2/2]

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

static

Definition at line 67 of file lossdistribution.cpp.

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probabilityOfAtLeastNEvents()

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

static

Probability of at least n defaults

Definition at line 112 of file lossdistribution.cpp.

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