Class LossDistBucketing

Loss distribution with Hull-White bucketing

Loss distribution for varying volumes and probabilities of default, independence assumed.

The implementation of the loss distribution follows

John Hull and Alan White, "Valuation of a CDO and nth to default CDS without Monte Carlo simulation", Journal of Derivatives 12, 2, 2004.

Hierarchy

LossDist
- LossDistBucketing

Implements

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

Index

Constructors

constructor

Properties

Methods

Constructors

constructor

new LossDistBucketing(nBuckets: Size, maximum: Real, epsilon?: Real): LossDistBucketing

- Defined in ql/experimental/credit/lossdistribution.ts:361
Parameters
- nBuckets: Size
- maximum: Real
- Default value epsilon: Real = 0.000001
Returns LossDistBucketing

Properties

Private _epsilon

_epsilon: Real

Private _maximum

_maximum: Real

Private _nBuckets

_nBuckets: Size

Methods

buckets

buckets(): Size

Overrides LossDist.buckets
- Defined in ql/experimental/credit/lossdistribution.ts:440
Returns Size

f

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

Overrides LossDist.f
- Defined in ql/experimental/credit/lossdistribution.ts:369
Parameters
- nominals: Real[]
- probabilities: Real[]
Returns Distribution

Private locateTargetBucket

locateTargetBucket(loss: Real, i0?: Size): Size

- Defined in ql/experimental/credit/lossdistribution.ts:448
Parameters
- loss: Real
- Default value i0: Size = 0
Returns Size

maximum

maximum(): Real

Overrides LossDist.maximum
- Defined in ql/experimental/credit/lossdistribution.ts:444
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