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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