Reference manual - version qle_version
Represents a bucketed probability distibution. More...
#include <qle/math/bucketeddistribution.hpp>
Public Member Functions | |
| BucketedDistribution () | |
| Default constructor. | |
| BucketedDistribution (QuantLib::Real min, QuantLib::Real max, QuantLib::Size numberBuckets) | |
Build a default initial distribution from min and max and numberBuckets. | |
| BucketedDistribution (QuantLib::Real min, QuantLib::Real max, QuantLib::Size numberBuckets, QuantLib::Real initialValue) | |
| BucketedDistribution (const std::vector< QuantLib::Real > &buckets, const std::vector< QuantLib::Real > &initialProbabilities, const std::vector< QuantLib::Real > &initialPoints) | |
| Explicitly specify the initial distribution. | |
| BucketedDistribution (const BucketedDistribution &other) | |
| Copy constructor. | |
| void | add (const DiscreteDistribution &distribution) |
| Update the bucketed distribution by adding a discrete distribution. | |
| const std::vector< QuantLib::Real > & | buckets () const |
| Return the buckets of the distribution. | |
| const std::vector< QuantLib::Real > & | probabilities () const |
| Get the probabilities. | |
| std::vector< QuantLib::Real > & | probabilities () |
| Set the probabilities. | |
| const std::vector< QuantLib::Real > & | points () const |
| Return the points of the distribution. | |
| Size | numberBuckets () const |
| Return the number of buckets in the distribution. | |
| std::vector< QuantLib::Real > | cumulativeProbabilities () const |
| Return the cumulative probabilities of the distribution. | |
| std::vector< QuantLib::Real > | complementaryProbabilities () const |
| Return 1.0 minus the cumulative probabilities of the distribution. | |
| void | applyShift (QuantLib::Real shift) |
Shift all buckets and points by an additive shift. | |
| void | applyFactor (QuantLib::Real factor) |
Shift all buckets and points by a multiplicative factor. | |
| Real | cumulativeProbability (QuantLib::Real x) const |
Return cumulative probability at point x using linear interpolation. | |
| Real | inverseCumulativeProbability (QuantLib::Real p) const |
Return inverse cumulative probability given a probability p using linear interpolation. | |
| BucketedDistribution & | operator+= (const BucketedDistribution &other) |
| Utility functions. | |
| DiscreteDistribution | createDiscrete () const |
| Create a DiscreteDistribution from a BucketedDistribution with discrete points at midpoints of the buckets. | |
| void | erase (QuantLib::Size n) |
Erase the first n buckets from the distribution. | |
| QuantLib::Size | bucket (QuantLib::Real value) const |
| Returns the index of the bucket containing value. | |
Represents a bucketed probability distibution.
| BucketedDistribution | ( | QuantLib::Real | min, |
| QuantLib::Real | max, | ||
| QuantLib::Size | numberBuckets, | ||
| QuantLib::Real | initialValue ) |
Build a default initial distribution from min and max and numberBuckets and set all probabilities to initialValue
| void erase | ( | QuantLib::Size | n | ) |
Erase the first n buckets from the distribution.