Table of Contents

Class LossDistBucketing

Namespace
NanoQL.Experimental
Assembly
NanoQL.dll

The loss distribution of varying volumes and default probabilities, independence assumed, by Hull-White bucketing: John Hull and Alan White, "Valuation of a CDO and nth to default CDS without Monte Carlo simulation", Journal of Derivatives 12, 2, 2004.

[Experimental("NQL0001")]
public sealed class LossDistBucketing : LossDist
Inheritance
LossDistBucketing
Inherited Members

Constructors

LossDistBucketing(int, double, double)

The loss distribution of varying volumes and default probabilities, independence assumed, by Hull-White bucketing: John Hull and Alan White, "Valuation of a CDO and nth to default CDS without Monte Carlo simulation", Journal of Derivatives 12, 2, 2004.

public LossDistBucketing(int nBuckets, double maximum, double epsilon = 1E-06)

Parameters

nBuckets int

The number of buckets.

maximum double

The largest loss.

epsilon double

The tolerance of a loss's bucket.

Properties

Buckets

Gets the number of buckets of the distributions built.

public override int Buckets { get; }

Property Value

int

Maximum

Gets the distributions' largest loss.

public override double Maximum { get; }

Property Value

double

Methods

Evaluate(IReadOnlyList<double>, IReadOnlyList<double>)

The distribution of the pool's loss: QuantLib's operator().

public override Distribution Evaluate(IReadOnlyList<double> volumes, IReadOnlyList<double> probabilities)

Parameters

volumes IReadOnlyList<double>

The names' volumes (losses given default).

probabilities IReadOnlyList<double>

The names' default probabilities.

Returns

Distribution

The distribution.

Exceptions

ArgumentNullException

A list is null.

ArgumentException

The lists' sizes differ ("sizes differ: …").

NanoQLException

A bucket's average leaves the bucket ("a out of range at k=…").