LossDistHomogeneous (3) - Linux Manuals

LossDistHomogeneous: Loss Distribution for Homogeneous Pool.


QuantLib::LossDistHomogeneous - Loss Distribution for Homogeneous Pool.


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

Inherits QuantLib::LossDist.

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

Detailed Description

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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