LossDistBucketing (3) - Linux Manuals
LossDistBucketing: Loss distribution with Hull-White bucketing.
QuantLib::LossDistBucketing - Loss distribution with Hull-White bucketing.
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
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.
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