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authorGuillaume Horel <guillaume.horel@serenitascapital.com>2015-07-30 15:17:00 -0400
committerGuillaume Horel <guillaume.horel@serenitascapital.com>2015-07-30 15:17:00 -0400
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+% Generated by roxygen2 (4.1.1): do not edit by hand
+% Please edit documentation in R/distrib.R
+\name{lossdistrib}
+\alias{lossdistrib}
+\title{Loss distribution of a portfolio}
+\usage{
+lossdistrib(p)
+}
+\arguments{
+\item{p}{Numeric vector, the vector of success probabilities}
+}
+\value{
+A vector q such that q[k]=P(S=k)
+}
+\description{
+\code{lossdistrib} computes the probability distribution of a sum
+of independent Bernouilli variables with unequal probabilities.
+}
+\details{
+This uses the basic recursive algorithm of Andersen, Sidenius and Basu
+We compute the probability distribution of S = \sum_{i=1}^n X_i
+where X_i is Bernouilli(p_i)
+}
+