OneFactorGaussianCopula Class Reference

One-factor Gaussian Copula. More...

#include <ql/experimental/credit/onefactorgaussiancopula.hpp>

Inheritance diagram for OneFactorGaussianCopula:

List of all members.

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

\[ Y_i = a_i\,M+\sqrt{1-a_i^2}\:Z_i \]

is specified here by setting the desnity function for all variables, $ M, Z,$ and also $ Y $ to the standard normal distribution $ \phi(x) = \exp(-x^2/2) / \sqrt{2\pi}. $


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.