Loss distribution with Monte Carlo simulation. More...
#include <ql/experimental/credit/lossdistribution.hpp>
Inheritance diagram for LossDistMonteCarlo:
Collaboration diagram for LossDistMonteCarlo:
Public Member Functions | |
| LossDistMonteCarlo (Size nBuckets, Real maximum, Size simulations, long seed=42, Real epsilon=1e-6) | |
| Distribution | operator() (const std::vector< Real > &volumes, const std::vector< Real > &probabilities) const override |
| Size | buckets () const override |
| Real | maximum () const override |
| Public Member Functions inherited from LossDist | |
| 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 |
Private Attributes | |
| Size | nBuckets_ |
| Real | maximum_ |
| Size | simulations_ |
| long | seed_ |
| Real | epsilon_ |
Additional Inherited Members | |
| Static Public Member Functions inherited from LossDist | |
| 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) |
Detailed Description
Loss distribution with Monte Carlo simulation.
Loss distribution for varying volumes and probabilities of default via Monte Carlo simulation of independent default events.
Definition at line 205 of file lossdistribution.hpp.
Constructor & Destructor Documentation
◆ LossDistMonteCarlo()
| LossDistMonteCarlo | ( | Size | nBuckets, |
| Real | maximum, | ||
| Size | simulations, | ||
| long | seed = 42, |
||
| Real | epsilon = 1e-6 |
||
| ) |
Definition at line 207 of file lossdistribution.hpp.
Member Function Documentation
◆ operator()()
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overridevirtual |
Implements LossDist.
Definition at line 302 of file lossdistribution.cpp.
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◆ buckets()
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overridevirtual |
Implements LossDist.
Definition at line 213 of file lossdistribution.hpp.
◆ maximum()
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overridevirtual |
Implements LossDist.
Definition at line 214 of file lossdistribution.hpp.
Member Data Documentation
◆ nBuckets_
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private |
Definition at line 217 of file lossdistribution.hpp.
◆ maximum_
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private |
Definition at line 218 of file lossdistribution.hpp.
◆ simulations_
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private |
Definition at line 219 of file lossdistribution.hpp.
◆ seed_
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private |
Definition at line 220 of file lossdistribution.hpp.
◆ epsilon_
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private |
Definition at line 221 of file lossdistribution.hpp.