Probability formulas and algorithms. More...
#include <ql/experimental/credit/lossdistribution.hpp>
 Inheritance diagram for LossDist:
 Inheritance diagram for LossDist:| Public Member Functions | |
| virtual Distribution | operator() (const std::vector< Real > &volumes, const std::vector< Real > &probabilities) const =0 | 
| virtual Size | buckets () const =0 | 
| virtual Real | maximum () const =0 | 
| Static Public Member Functions | |
| 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) | 
Probability formulas and algorithms.
Binomial probability of n defaults using prob[0]
Binomial probability of at least n defaults using prob[0]
Probability of exactly n default events 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)