- QuantLib
- LossDistMonteCarlo
Loss distribution with Monte Carlo simulation. More...
#include <ql/experimental/credit/lossdistribution.hpp>
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 |
Loss distribution with Monte Carlo simulation.
Loss distribution for varying volumes and probabilities of default via Monte Carlo simulation of independent default events.