lossdistribution (3) Linux Manual Page

ql/experimental/credit/lossdistribution.hpp – Loss distributions and probability of n defaults.

Synopsis

#include <ql/math/distributions/binomialdistribution.hpp>
#include <ql/experimental/credit/distribution.hpp>
#include <ql/experimental/credit/onefactorcopula.hpp>

Classes

class LossDist
Probability formulas and algorithms.
class ProbabilityOfNEvents
Probability of N events.
class ProbabilityOfAtLeastNEvents
Probability of at least N events.
class BinomialProbabilityOfAtLeastNEvents
Probability of at least N events.
class LossDistBinomial
Binomial loss distribution.
class LossDistHomogeneous
Loss Distribution for Homogeneous Pool.
class LossDistBucketing
Loss distribution with Hull-White bucketing.
class LossDistMonteCarlo
Loss distribution with Monte Carlo simulation.

Detailed Description

Loss distributions and probability of n defaults.

Author

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