LossDist Class Reference
Probability formulas and algorithms. More...
#include <ql/experimental/credit/lossdistribution.hpp>
Inheritance diagram for LossDist:

Public Member Functions | |
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 |
Static Public Member Functions | |
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
Probability formulas and algorithms.Member Function Documentation
static Real binomialProbabilityOfNEvents | ( | int | n, | |
std::vector< Real > & | p | |||
) | [static] |
Binomial probability of n defaults using prob[0]
static Real binomialProbabilityOfAtLeastNEvents | ( | int | n, | |
std::vector< Real > & | p | |||
) | [static] |
Binomial probability of at least n defaults using prob[0]
static std::vector<Real> probabilityOfNEvents | ( | std::vector< Real > & | p | ) | [static] |
Probability of exactly n default events Xiaofong Ma, "Numerical Methods for the Valuation of Synthetic Collateralized Debt Obligations", PhD Thesis, Graduate Department of Computer Science, University of Toronto, 2007 http://www.cs.toronto.edu/pub/reports/na/ma-07-phd.pdf (formula 2.1)
static Real probabilityOfAtLeastNEvents | ( | int | n, | |
std::vector< Real > & | p | |||
) | [static] |
Probability of at least n defaults