LossDistBucketing Class Reference
Loss distribution with Hull-White bucketing. More...
#include <ql/experimental/credit/lossdistribution.hpp>
Inheritance diagram for LossDistBucketing:

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.