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

[Roland L. <rol...@go...>]

Hi Nicolai,

many thanks for the hint. I will have a look at the procedure as soon as I
find some spare time.
Did you also reproduce the CDO examples in Hull and White's paper? Luigi
will soon commit the CDO code that uses the loss distribution bucketing
algorithm, also to appear in experimental, I assume. We agreed that it will
be released latest with version 1.0. The associated test cases compare
against the paper's result. I would be very interested in discussing these
and any improvements you have in mind.

Best,
Roland

On Mon, Jul 7, 2008 at 9:52 PM, N_Lassesen <
nic...@ca...> wrote:

>
> 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
>
> --
> View this message in context:
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> Sent from the quantlib-dev mailing list archive at Nabble.com.
>
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