Loss distribution with Monte Carlo simulation. More...
#include <ql/experimental/credit/lossdistribution.hpp>
Inheritance diagram for LossDistMonteCarlo:Public Member Functions | |
| LossDistMonteCarlo (Size nBuckets, Real maximum, Size simulations, long seed=42, Real epsilon=1e-6) | |
| Distribution | operator() (const std::vector< Real > &volumes, const std::vector< Real > &probabilities) const |
| Size | buckets () const |
| Real | maximum () const |
Additional Inherited Members | |
Static Public Member Functions inherited from LossDist | |
| 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) |
Loss distribution with Monte Carlo simulation.
Loss distribution for varying volumes and probabilities of default via Monte Carlo simulation of independent default events.