Distribution Class Reference

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

Collaboration diagram for Distribution:

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

Detailed Description

Definition at line 37 of file distribution.hpp.

Constructor & Destructor Documentation

Distribution() [1/2]

Distribution	(	int	nBuckets,
		Real	xmin,
		Real	xmax
	)

Definition at line 33 of file distribution.cpp.

Distribution() [2/2]

Distribution ( )

default

Member Function Documentation

add()

void add

(

Real

value

)

Definition at line 78 of file distribution.cpp.

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addDensity()

void addDensity	(	int	bucket,
		Real	value
	)

Definition at line 95 of file distribution.cpp.

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addAverage()

void addAverage	(	int	bucket,
		Real	value
	)

Definition at line 103 of file distribution.cpp.

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normalize()

void normalize

(

)

Definition at line 111 of file distribution.cpp.

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size()

Size size

(

)

const

Definition at line 49 of file distribution.hpp.

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x() [1/2]

Real x

(

Size

k

)

Definition at line 50 of file distribution.hpp.

x() [2/2]

std::vector< Real > & x

(

)

Definition at line 51 of file distribution.hpp.

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dx() [1/3]

Real dx

(

Size

k

)

Definition at line 52 of file distribution.hpp.

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dx() [2/3]

std::vector< Real > & dx

(

)

Definition at line 53 of file distribution.hpp.

dx() [3/3]

Real dx

(

Real

x

)

Definition at line 71 of file distribution.cpp.

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density()

Real density

(

Size

k

)

Definition at line 56 of file distribution.hpp.

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cumulative()

Real cumulative

(

Size

k

)

Definition at line 60 of file distribution.hpp.

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excess()

Real excess

(

Size

k

)

Definition at line 64 of file distribution.hpp.

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cumulativeExcess()

Real cumulativeExcess

(

Size

k

)

Definition at line 68 of file distribution.hpp.

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average()

Real average

(

Size

k

)

Definition at line 72 of file distribution.hpp.

confidenceLevel()

Real confidenceLevel

(

Real

quantil

)

Definition at line 151 of file distribution.cpp.

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cumulativeDensity()

Real cumulativeDensity

(

Real

x

)

Definition at line 220 of file distribution.cpp.

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cumulativeExcessProbability()

Real cumulativeExcessProbability	(	Real	a,
		Real	b
	)

Definition at line 204 of file distribution.cpp.

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expectedValue() [1/2]

Real expectedValue

(

)

Definition at line 162 of file distribution.cpp.

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trancheExpectedValue()

Real trancheExpectedValue	(	Real	a,
		Real	d
	)

Definition at line 174 of file distribution.cpp.

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expectedValue() [2/2]

Real expectedValue

(

F &

f

)

Definition at line 81 of file distribution.hpp.

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tranche()

void tranche	(	Real	attachmentPoint,
		Real	detachmentPoint
	)

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.

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locate()

int locate

(

Real

x

)

Definition at line 55 of file distribution.cpp.

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expectedShortfall()

Real expectedShortfall

(

Real

percValue

)

Definition at line 328 of file distribution.cpp.

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Friends And Related Function Documentation

ManipulateDistribution

friend class ManipulateDistribution

friend

Definition at line 39 of file distribution.hpp.

Member Data Documentation

size_

int size_

private

Definition at line 110 of file distribution.hpp.

xmin_

Real xmin_

private

Definition at line 111 of file distribution.hpp.

xmax_

Real xmax_

private

Definition at line 111 of file distribution.hpp.

count_

std::vector<int> count_

private

Definition at line 112 of file distribution.hpp.

x_

std::vector<Real> x_

private

Definition at line 115 of file distribution.hpp.

dx_

std::vector<Real> dx_

private

Definition at line 115 of file distribution.hpp.

density_

std::vector<Real> density_

private

Definition at line 120 of file distribution.hpp.

cumulativeDensity_

std::vector<Real> cumulativeDensity_

private

Definition at line 120 of file distribution.hpp.

excessProbability_

std::vector<Real> excessProbability_

private

Definition at line 121 of file distribution.hpp.

cumulativeExcessProbability_

std::vector<Real> cumulativeExcessProbability_

private

Definition at line 121 of file distribution.hpp.

average_

std::vector<Real> average_

private

Definition at line 123 of file distribution.hpp.

overFlow_

int overFlow_

private

Definition at line 125 of file distribution.hpp.

underFlow_

int underFlow_

private

Definition at line 125 of file distribution.hpp.

isNormalized_

bool isNormalized_

private

Definition at line 126 of file distribution.hpp.