QuantLib_OneFactorGaussianCopula (3) - Linux Manuals
QuantLib_OneFactorGaussianCopula: One-factor Gaussian Copula.
NAME
QuantLib::OneFactorGaussianCopula - One-factor Gaussian Copula.
SYNOPSIS
#include <ql/experimental/credit/onefactorgaussiancopula.hpp>
Inherits QuantLib::OneFactorCopula.
Public Member Functions
OneFactorGaussianCopula (const Handle< Quote > &correlation, Real maximum=5, Size integrationSteps=50)
Real density (Real m) const
Density function of M.
Real cumulativeZ (Real z) const
Cumulative distribution of Z.
Real cumulativeY (Real y) const
Real testCumulativeY (Real y) const
Real inverseCumulativeY (Real p) const
Detailed Description
One-factor Gaussian Copula.
The copula model [ Y_i = a_i,M+qrt{1-a_i^2}:Z_i ] is specified here by setting the desnity function for all variables, $ M, Z,$ and also $ Y $ to the standard normal distribution $
hi(x) = \xp(-x^2/2) / qrt{2
i}. $
Member Function Documentation
Real density (Real m) const [virtual]
Density function of M.
Derived classes must override this method and ensure zero mean and unit variance.
Real cumulativeZ (Real z) const [virtual]
Cumulative distribution of Z.
Derived classes must override this method and ensure zero mean and unit variance.
Real cumulativeY (Real y) const [virtual]
overrides the base class implementation based on table data
Reimplemented from OneFactorCopula.
Real inverseCumulativeY (Real p) const [virtual]
overrides the base class implementation based on table data
Reimplemented from OneFactorCopula.
Author
Generated automatically by Doxygen for QuantLib from the source code.