LossDistBucketing Class Reference

Loss distribution with Hull-White bucketing. More...

#include <lossdistribution.hpp>

Inheritance diagram for LossDistBucketing:

Collaboration diagram for LossDistBucketing:

Public Member Functions
	LossDistBucketing (Size nBuckets, Real maximum, 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 Member Functions
int	locateTargetBucket (Real loss, Size i0=0) const

Private Attributes
Size	nBuckets_
Real	maximum_
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 Hull-White bucketing.

Loss distribution with Hull-White bucketing

Loss distribution for varying volumes and probabilities of default, independence assumed.

The implementation of the loss distribution follows

John Hull and Alan White, "Valuation of a CDO and nth to default CDS without Monte Carlo simulation", Journal of Derivatives 12, 2, 2004.

Definition at line 170 of file lossdistribution.hpp.

Constructor & Destructor Documentation

LossDistBucketing()

LossDistBucketing	(	Size	nBuckets,
		Real	maximum,
		Real	epsilon = 1e-6
	)

Definition at line 172 of file lossdistribution.hpp.

Member Function Documentation

operator()()

Distribution operator() ( const std::vector< Real > &  volumes, const std::vector< Real > &  probabilities  ) const

overridevirtual

Implements LossDist.

Definition at line 227 of file lossdistribution.cpp.

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buckets()

Size buckets ( ) const

overridevirtual

Implements LossDist.

Definition at line 177 of file lossdistribution.hpp.

maximum()

Real maximum ( ) const

overridevirtual

Implements LossDist.

Definition at line 178 of file lossdistribution.hpp.

locateTargetBucket()

int locateTargetBucket ( Real  loss, Size  i0 = 0  ) const

private

Definition at line 292 of file lossdistribution.cpp.

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Member Data Documentation

nBuckets_

Size nBuckets_

private

Definition at line 183 of file lossdistribution.hpp.

maximum_

Real maximum_

private

Definition at line 184 of file lossdistribution.hpp.

epsilon_

Real epsilon_

private

Definition at line 185 of file lossdistribution.hpp.