QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.8
Public Member Functions | List of all members
LossDistMonteCarlo Class Reference

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< RealprobabilityOfNEvents (std::vector< Real > &p)
 
static Real probabilityOfNEvents (int n, std::vector< Real > &p)
 
static Real probabilityOfAtLeastNEvents (int n, std::vector< Real > &p)
 

Detailed Description

Loss distribution with Monte Carlo simulation.

Loss distribution for varying volumes and probabilities of default via Monte Carlo simulation of independent default events.