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Diffstat (limited to 'man/lossdistrib.fft.Rd')
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diff --git a/man/lossdistrib.fft.Rd b/man/lossdistrib.fft.Rd new file mode 100644 index 0000000..7f86f10 --- /dev/null +++ b/man/lossdistrib.fft.Rd @@ -0,0 +1,26 @@ +% Generated by roxygen2 (4.1.1): do not edit by hand +% Please edit documentation in R/distrib.R +\name{lossdistrib.fft} +\alias{lossdistrib.fft} +\title{Loss distribution of a portfolio} +\usage{ +lossdistrib.fft(p) +} +\arguments{ +\item{p}{Numeric vector, the vector of success probabilities} +} +\value{ +A vector such that q[k]=P(S=k) +} +\description{ +\code{lossdistrib.fft} computes the probability distribution of a sum +of independent Bernouilli variables with unequal probabilities. +} +\details{ +This uses the fft. Complexity is of order O(n m) + O(m\log{m}) +where m is the size of the grid and n, the number of probabilities. +It is slower than the recursive algorithm in practice. +We compute the probability distribution of S = \sum_{i=1}^n X_i +where X_i is Bernouilli(p_i) +} + |