OneFactorGaussianCopula (3) Linux Manual Page

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) =