Class Distribution

Discretized probability density and cumulative probability

Hierarchy

Distribution

Index

Properties

Properties

Private _average

_average: Real[]

Private _count

_count: Size[]

_cumulativeDensity

_cumulativeDensity: Real[]

Private _cumulativeExcessProbability

_cumulativeExcessProbability: Real[]

_density

_density: Real[]

_dx

_dx: Real[]

_excessProbability

_excessProbability: Real[]

Private _isNormalized

_isNormalized: boolean

Private _overFlow

_overFlow: Integer

Private _size

_size: Size

Private _underFlow

_underFlow: Integer

Private _x

_x: Real[]

_xmax

_xmax: Real

_xmin

_xmin: Real

Methods

add

add(value: Real): void

- Defined in ql/experimental/credit/distribution.ts:44
Parameters
- value: Real
Returns void

addAverage

addAverage(bucket: Integer, value: Real): void

- Defined in ql/experimental/credit/distribution.ts:68
Parameters
- bucket: Integer
- value: Real
Returns void

addDensity

addDensity(bucket: Integer, value: Real): void

- Defined in ql/experimental/credit/distribution.ts:60
Parameters
- bucket: Integer
- value: Real
Returns void

average

average(k: Size): Real

- Defined in ql/experimental/credit/distribution.ts:163
Parameters
- k: Size
Returns Real

confidenceLevel

confidenceLevel(quantil: Real): Real

- Defined in ql/experimental/credit/distribution.ts:167
Parameters
- quantil: Real
Returns Real

cumulative

cumulative(k: Size): Real

- Defined in ql/experimental/credit/distribution.ts:148
Parameters
- k: Size
Returns Real

cumulativeDensity

cumulativeDensity(x: Real): Real

- Defined in ql/experimental/credit/distribution.ts:177
Parameters
- x: Real
Returns Real

cumulativeExcess

cumulativeExcess(k: Size): Real

- Defined in ql/experimental/credit/distribution.ts:158
Parameters
- k: Size
Returns Real

cumulativeExcessProbability

cumulativeExcessProbability(a: Real, b: Real): Real

- Defined in ql/experimental/credit/distribution.ts:196
Parameters
- a: Real
- b: Real
Returns Real

density

density(k: Size): Real

- Defined in ql/experimental/credit/distribution.ts:143
Parameters
- k: Size
Returns Real

dx1

dx1(k: Size): Real

- Defined in ql/experimental/credit/distribution.ts:130
Parameters
- k: Size
Returns Real

dx2

dx2(): Real[]

- Defined in ql/experimental/credit/distribution.ts:134
Returns Real[]

dx3

dx3(x: Real): Real

- Defined in ql/experimental/credit/distribution.ts:138
Parameters
- x: Real
Returns Real

excess

excess(k: Size): Real

- Defined in ql/experimental/credit/distribution.ts:153
Parameters
- k: Size
Returns Real

expectedShortfall

expectedShortfall(percValue: Real): Real

- Defined in ql/experimental/credit/distribution.ts:351
Parameters
- percValue: Real
Returns Real

expectedValue1

expectedValue1(): Real

- Defined in ql/experimental/credit/distribution.ts:228
Returns Real

expectedValue2

expectedValue2(f: UnaryFunction<Real, Real>): Real

- Defined in ql/experimental/credit/distribution.ts:257
Parameters
- f: UnaryFunction<Real, Real>
Returns Real

init

init(nBuckets: Size, xmin: Real, xmax: Real): Distribution

- Defined in ql/experimental/credit/distribution.ts:17
Parameters
- nBuckets: Size
- xmin: Real
- xmax: Real
Returns Distribution

locate

locate(x: Real): Size

- Defined in ql/experimental/credit/distribution.ts:335
Parameters
- x: Real
Returns Size

normalize

normalize(): void

- Defined in ql/experimental/credit/distribution.ts:76
Returns void

size

size(): Size

- Defined in ql/experimental/credit/distribution.ts:118
Returns Size

tranche

tranche(attachmentPoint: Real, detachmentPoint: Real): void

- Defined in ql/experimental/credit/distribution.ts:275
Transform the loss distribution into the tranche loss distribution for losses L_T = min(L,D) - min(L,A). The effects are:

1) shift the distribution to the left by A, then 2) cut off at D-A, Pr(L_T > D-A) = 0 3) ensure Pr(L_T >= 0) = 1, i.e. a density spike at L_T = 0

Parameters
- attachmentPoint: Real
- detachmentPoint: Real
Returns void

trancheExpectedValue

trancheExpectedValue(a: Real, d: Real): Real

- Defined in ql/experimental/credit/distribution.ts:238
Parameters
- a: Real
- d: Real
Returns Real

x1

x1(k: Size): Real

- Defined in ql/experimental/credit/distribution.ts:122
Parameters
- k: Size
Returns Real

x2

x2(): Real[]

- Defined in ql/experimental/credit/distribution.ts:126
Returns Real[]