Class LossDist

Probability formulas and algorithms

Hierarchy

LossDist

Implements

BinaryFunction<Real[], Real[], Distribution>

Index

Methods

Methods

buckets

buckets(): Size

- Defined in ql/experimental/credit/lossdistribution.ts:20
Returns Size

f

f(volumes: Real[], probabilities: Real[]): Distribution

- Defined in ql/experimental/credit/lossdistribution.ts:16
Parameters
- volumes: Real[]
- probabilities: Real[]
Returns Distribution

maximum

maximum(): Real

- Defined in ql/experimental/credit/lossdistribution.ts:24
Returns Real

Static binomialProbabilityOfAtLeastNEvents

binomialProbabilityOfAtLeastNEvents(n: Size, p: Real[]): Real

- Defined in ql/experimental/credit/lossdistribution.ts:36
Binomial probability of at least n defaults using prob[0]

Parameters
- n: Size
- p: Real[]
Returns Real

Static binomialProbabilityOfNEvents

binomialProbabilityOfNEvents(n: Size, p: Real[]): Real

- Defined in ql/experimental/credit/lossdistribution.ts:29
Binomial probability of n defaults using prob[0]

Parameters
- n: Size
- p: Real[]
Returns Real

Static probabilityOfAtLeastNEvents

probabilityOfAtLeastNEvents(k: Size, p: Real[]): Real

- Defined in ql/experimental/credit/lossdistribution.ts:89
Probability of at least n defaults

Parameters
- k: Size
- p: Real[]
Returns Real

Static probabilityOfNEvents1

probabilityOfNEvents1(p: Real[]): Real[]

- Defined in ql/experimental/credit/lossdistribution.ts:56
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)

Parameters
- p: Real[]
Returns Real[]

Static probabilityOfNEvents2

probabilityOfNEvents2(k: Size, p: Real[]): Real

- Defined in ql/experimental/credit/lossdistribution.ts:73
Parameters
- k: Size
- p: Real[]
Returns Real