probabilityOfAtLeastNEvents (3) - Linux Manuals

probabilityOfAtLeastNEvents: Probability formulas and algorithms.

NAME

QuantLib::LossDist - Probability formulas and algorithms.

SYNOPSIS

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

Inherited by LossDistBinomial, LossDistBucketing, LossDistHomogeneous, and LossDistMonteCarlo.

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< Real > probabilityOfNEvents (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

Author

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