Probability formulas and algorithms. More...

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

Inheritance diagram for LossDist:

List of all members.

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< RealprobabilityOfNEvents (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