QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Loss distributions and probability of n defaults. More...
#include <ql/math/distributions/binomialdistribution.hpp>
#include <ql/experimental/credit/distribution.hpp>
#include <ql/experimental/credit/onefactorcopula.hpp>
Go to the source code of this file.
Classes | |
class | LossDist |
Probability formulas and algorithms. More... | |
class | ProbabilityOfNEvents |
Probability of N events. More... | |
class | ProbabilityOfAtLeastNEvents |
Probability of at least N events. More... | |
class | BinomialProbabilityOfAtLeastNEvents |
Probability of at least N events. More... | |
class | LossDistBinomial |
Binomial loss distribution. More... | |
class | LossDistHomogeneous |
Loss Distribution for Homogeneous Pool. More... | |
class | LossDistBucketing |
Loss distribution with Hull-White bucketing. More... | |
class | LossDistMonteCarlo |
Loss distribution with Monte Carlo simulation. More... | |
Namespaces | |
namespace | QuantLib |
Loss distributions and probability of n defaults.
Definition in file lossdistribution.hpp.