LossDistBucketing Class Reference

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

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

Inheritance diagram for LossDistBucketing:

List of all members.

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
Size buckets () const
Real maximum () const

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.