- QuantLib
- OneFactorGaussianStudentCopula
One-factor Gaussian-Student t-Copula. More...
#include <ql/experimental/credit/onefactorstudentcopula.hpp>
Public Member Functions | |
OneFactorGaussianStudentCopula (const Handle< Quote > &correlation, int nz, Real maximum=10, Size integrationSteps=200) | |
Real | density (Real m) const |
Density function of M. | |
Real | cumulativeZ (Real z) const |
Cumulative distribution of Z. |
One-factor Gaussian-Student t-Copula.
The copula model
is specified here by setting the probability density functions for (
) to a Student t-distributions with
degrees of freedom, and for
(
) to a Gaussian.
The variance of the Student t-distribution with degrees of freedom is
. Since the copula approach requires zero mean and unit variance distributions,
is scaled by
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.