[Quantlib-dev] Re garding ql/experimental/credit/lossdistribution.hpp

[N_Lassesen <nic...@ca...>]

The function Real probabilityOfNEvents(Size n, const std::vector<Real>& prob)
is numerically unstable. This document:
http://www.cs.toronto.edu/pub/reports/na/ma-07-phd.pdf
describes a recursive procedure (formula 2.1) which is numerically stable,
and which gives rise to an identical loss distribution. I have been able to
replicate the results in Hull and White (2004) using this procedure with an
error of only a few basis points.

Rgds
Nicolai Lassesen

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