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Diffstat (limited to 'man/lossdistrib2.Rd')
| -rw-r--r-- | man/lossdistrib2.Rd | 13 |
1 files changed, 10 insertions, 3 deletions
diff --git a/man/lossdistrib2.Rd b/man/lossdistrib2.Rd index d62afb4..4d1dd9c 100644 --- a/man/lossdistrib2.Rd +++ b/man/lossdistrib2.Rd @@ -2,7 +2,7 @@ % Please edit documentation in R/distrib.R \name{lossdistrib2} \alias{lossdistrib2} -\title{recursive algorithm with first order correction} +\title{Loss distribution of a portfolio} \usage{ lossdistrib2(p, w, S, N, defaultflag = FALSE) } @@ -15,7 +15,7 @@ lossdistrib2(p, w, S, N, defaultflag = FALSE) \item{N}{Integer, number of ticks in the grid} -\item{defaultflag}{Boolean, if True, we compute the default distribution +\item{defaultflag}{Boolean, if TRUE, we compute the default distribution (instead of the loss distribution).} } \value{ @@ -23,6 +23,13 @@ a Numeric vector of size \code{N} computing the loss (resp. default) distribution if \code{defaultflag} is FALSE (resp. TRUE). } \description{ -recursive algorithm with first order correction +\code{lossdistrib2} computes the probability distribution of a sum +of independent Bernouilli variables with unequal probabilities. +} +\details{ +We compute the probability distribution of \eqn{L = \sum_{i=1}^n w_i S_i X_i} +where \eqn{X_i} is Bernouilli(\eqn{p_i}). If \code{defaultflag} is TRUE, we +compute the distribution of \eqn{D = \sum_{i=1}^n w_i X_i} instead. +This a recursive algorithm with first order correction for discretization. } |