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QuantLib_LossDist
Langue: en
Version: 374624 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
Sommaire
- NAME
- SYNOPSIS
- Detailed Description
- 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
- static Real probabilityOfAtLeastNEvents (int n, std::vector< Real > & p) [static]Probability of at least n defaults
- Author
NAME
QuantLib::LossDist -Probability formulas and algorithms.
SYNOPSIS
#include <ql/experimental/credit/lossdistribution.hpp>
Inherited by LossDistBinomial, LossDistBucketing, LossDistHomogeneous, and LossDistMonteCarlo.
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
Author
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