QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Classes | Namespaces
lossdistribution.hpp File Reference

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
 

Detailed Description

Loss distributions and probability of n defaults.

Definition in file lossdistribution.hpp.