Regarding ql/experimental/credit/lossdistribution.hpp

Posted by N_Lassesen on Jul 07, 2008; 7:52pm
URL: http://quantlib.414.s1.nabble.com/Regarding-ql-experimental-credit-lossdistribution-hpp-tp12184.html

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