LossDistHomogeneous (3) - Linux Manuals
LossDistHomogeneous: Loss Distribution for Homogeneous Pool.
QuantLib::LossDistHomogeneous - Loss Distribution for Homogeneous Pool.
Public Member Functions
LossDistHomogeneous (Size nBuckets, Real maximum, Real epsilon=1e-6)
Distribution operator() (Real volume, const std::vector< Real > &probabilities) const
Distribution operator() (const std::vector< Real > &volumes, const std::vector< Real > &probabilities) const
Size buckets () const
Real maximum () const
Size size () const
Real volume () const
std::vector< Real > probability () const
std::vector< Real > excessProbability () const
Loss Distribution for Homogeneous Pool.
Loss Distribution for Homogeneous Pool
Loss distribution for equal volumes but varying probabilities of default.
The method builds the exact loss distribution for a homogeneous pool of underlyings iteratively by computing the convolution of the given loss distribution with the 'loss distribution' of an additional credit following
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)
avoiding numerical instability of the algorithm by
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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