LossDistMonteCarlo (3) - Linux Manuals
LossDistMonteCarlo: Loss distribution with Monte Carlo simulation.
NAME
QuantLib::LossDistMonteCarlo - Loss distribution with Monte Carlo simulation.
SYNOPSIS
#include <ql/experimental/credit/lossdistribution.hpp>
Inherits QuantLib::LossDist.
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.
Author
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