QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Probability formulas and algorithms. More...
#include <lossdistribution.hpp>
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) |
Probability formulas and algorithms.
Definition at line 34 of file lossdistribution.hpp.
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default |
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virtualdefault |
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pure virtual |
Implemented in LossDistBinomial, LossDistHomogeneous, LossDistBucketing, and LossDistMonteCarlo.
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pure virtual |
Implemented in LossDistBinomial, LossDistHomogeneous, LossDistBucketing, and LossDistMonteCarlo.
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pure virtual |
Implemented in LossDistBinomial, LossDistHomogeneous, LossDistBucketing, and LossDistMonteCarlo.
Binomial probability of n defaults using prob[0]
Definition at line 28 of file lossdistribution.cpp.
Binomial probability of at least n defaults using prob[0]
Definition at line 35 of file lossdistribution.cpp.
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.
Probability of at least n defaults
Definition at line 112 of file lossdistribution.cpp.