LossDistMonteCarlo Class Reference

Loss distribution with Monte Carlo simulation. More...

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

Inheritance diagram for LossDistMonteCarlo:

List of all members.

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
Size buckets () const
Real maximum () const


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.