QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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#include <distribution.hpp>
Public Member Functions | |
Distribution (int nBuckets, Real xmin, Real xmax) | |
Distribution ()=default | |
void | add (Real value) |
void | addDensity (int bucket, Real value) |
void | addAverage (int bucket, Real value) |
void | normalize () |
Size | size () const |
Real | x (Size k) |
std::vector< Real > & | x () |
Real | dx (Size k) |
std::vector< Real > & | dx () |
Real | dx (Real x) |
Real | density (Size k) |
Real | cumulative (Size k) |
Real | excess (Size k) |
Real | cumulativeExcess (Size k) |
Real | average (Size k) |
Real | confidenceLevel (Real quantil) |
Real | cumulativeDensity (Real x) |
Real | cumulativeExcessProbability (Real a, Real b) |
Real | expectedValue () |
Real | trancheExpectedValue (Real a, Real d) |
template<class F > | |
Real | expectedValue (F &f) |
void | tranche (Real attachmentPoint, Real detachmentPoint) |
int | locate (Real x) |
Real | expectedShortfall (Real percValue) |
Private Attributes | |
int | size_ |
Real | xmin_ |
Real | xmax_ |
std::vector< int > | count_ |
std::vector< Real > | x_ |
std::vector< Real > | dx_ |
std::vector< Real > | density_ |
std::vector< Real > | cumulativeDensity_ |
std::vector< Real > | excessProbability_ |
std::vector< Real > | cumulativeExcessProbability_ |
std::vector< Real > | average_ |
int | overFlow_ |
int | underFlow_ |
bool | isNormalized_ |
Friends | |
class | ManipulateDistribution |
Definition at line 37 of file distribution.hpp.
Distribution | ( | int | nBuckets, |
Real | xmin, | ||
Real | xmax | ||
) |
Definition at line 33 of file distribution.cpp.
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void add | ( | Real | value | ) |
void addDensity | ( | int | bucket, |
Real | value | ||
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void addAverage | ( | int | bucket, |
Real | value | ||
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void normalize | ( | ) |
Size size | ( | ) | const |
Definition at line 50 of file distribution.hpp.
std::vector< Real > & x | ( | ) |
std::vector< Real > & dx | ( | ) |
Definition at line 53 of file distribution.hpp.
Definition at line 56 of file distribution.hpp.
Definition at line 72 of file distribution.hpp.
Definition at line 151 of file distribution.cpp.
Definition at line 220 of file distribution.cpp.
Definition at line 204 of file distribution.cpp.
Real expectedValue | ( | ) |
Definition at line 174 of file distribution.cpp.
Transform the loss distribution into the tranche loss distribution for losses L_T = min(L,D) - min(L,A). The effects are: 1) shift the distribution to the left by A, then 2) cut off at D-A, Pr(L_T > D-A) = 0 3) ensure Pr(L_T >= 0) = 1, i.e. a density spike at L_T = 0
Definition at line 236 of file distribution.cpp.
int locate | ( | Real | x | ) |
Definition at line 55 of file distribution.cpp.
Definition at line 328 of file distribution.cpp.
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Definition at line 39 of file distribution.hpp.
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private |
Definition at line 110 of file distribution.hpp.
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Definition at line 111 of file distribution.hpp.
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Definition at line 111 of file distribution.hpp.
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Definition at line 112 of file distribution.hpp.
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Definition at line 115 of file distribution.hpp.
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Definition at line 115 of file distribution.hpp.
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Definition at line 120 of file distribution.hpp.
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Definition at line 120 of file distribution.hpp.
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Definition at line 121 of file distribution.hpp.
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Definition at line 121 of file distribution.hpp.
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Definition at line 123 of file distribution.hpp.
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Definition at line 125 of file distribution.hpp.
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Definition at line 125 of file distribution.hpp.
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Definition at line 126 of file distribution.hpp.