QuantLib_OneFactorGaussianCopula (3) - Linux Man Pages

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.

Implements OneFactorCopula.

Real cumulativeZ (Real z) const [virtual]

Cumulative distribution of Z.

Derived classes must override this method and ensure zero mean and unit variance.

Implements OneFactorCopula.

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.