Class LossDistBinomial

Binomial loss distribution

Hierarchy

LossDist
- LossDistBinomial

Implements

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

Index

Constructors

constructor

Properties

Methods

Constructors

constructor

new LossDistBinomial(nBuckets: Size, maximum: Real): LossDistBinomial

- Defined in ql/experimental/credit/lossdistribution.ts:172
Parameters
- nBuckets: Size
- maximum: Real
Returns LossDistBinomial

Properties

Private _excessProbability

_excessProbability: Real[]

Private _maximum

_maximum: Real

Private _n

_n: Size

Private _nBuckets

_nBuckets: Size

Private _probability

_probability: Real[]

Private _volume

_volume: Real

Methods

buckets

buckets(): Size

Overrides LossDist.buckets
- Defined in ql/experimental/credit/lossdistribution.ts:213
Returns Size

excessProbability

excessProbability(): Real[]

- Defined in ql/experimental/credit/lossdistribution.ts:233
Returns Real[]

f

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

Overrides LossDist.f
- Defined in ql/experimental/credit/lossdistribution.ts:209
Parameters
- nominals: Real[]
- probabilities: Real[]
Returns Distribution

f1

f1(n: Size, volume: Real, probability: Real): Distribution

- Defined in ql/experimental/credit/lossdistribution.ts:179
Parameters
- n: Size
- volume: Real
- probability: Real
Returns Distribution

maximum

maximum(): Real

Overrides LossDist.maximum
- Defined in ql/experimental/credit/lossdistribution.ts:217
Returns Real

probability

probability(): Real[]

- Defined in ql/experimental/credit/lossdistribution.ts:229
Returns Real[]

size

size(): Size

- Defined in ql/experimental/credit/lossdistribution.ts:225
Returns Size

volume

volume(): Real

- Defined in ql/experimental/credit/lossdistribution.ts:221
Returns Real

Static binomialProbabilityOfAtLeastNEvents

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

Inherited from LossDist.binomialProbabilityOfAtLeastNEvents
- 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

Inherited from LossDist.binomialProbabilityOfNEvents
- 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

Inherited from LossDist.probabilityOfAtLeastNEvents
- 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[]

Inherited from LossDist.probabilityOfNEvents1
- 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

Inherited from LossDist.probabilityOfNEvents2
- Defined in ql/experimental/credit/lossdistribution.ts:73
Parameters
- k: Size
- p: Real[]
Returns Real