QuantLib_LossDistBucketing (3) - Linux Manuals

QuantLib_LossDistBucketing: Loss distribution with Hull-White bucketing.

Command to display QuantLib_LossDistBucketing manual in Linux: $ man 3 QuantLib_LossDistBucketing

NAME

QuantLib::LossDistBucketing - Loss distribution with Hull-White bucketing.

SYNOPSIS

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

Inherits QuantLib::LossDist.

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.

Author

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