One-factor Gaussian Copula. More...
#include <ql/experimental/credit/onefactorgaussiancopula.hpp>
Public Member Functions | |
OneFactorGaussianCopula (const Handle< Quote > &correlation, Real maximum=5, Size integrationSteps=50) | |
Real | density (Real m) const |
Density function of M. More... | |
Real | cumulativeZ (Real z) const |
Cumulative distribution of Z. More... | |
Real | cumulativeY (Real y) const |
Real | testCumulativeY (Real y) const |
Real | inverseCumulativeY (Real p) const |
![]() | |
OneFactorCopula (const Handle< Quote > &correlation, Real maximum=5.0, Size integrationSteps=50, Real minimum=-5.0) | |
Real | correlation () const |
Single correlation parameter. | |
Real | conditionalProbability (Real prob, Real m) const |
Conditional probability. More... | |
std::vector< Real > | conditionalProbability (const std::vector< Real > &prob, Real m) const |
Vector of conditional probabilities. More... | |
Real | integral (Real p) const |
template<class F > | |
Real | integral (const F &f, std::vector< Real > &probabilities) const |
template<class F > | |
Distribution | integral (const F &f, const std::vector< Real > &nominals, const std::vector< Real > &probabilities) const |
int | checkMoments (Real tolerance) const |
![]() | |
void | update () |
void | recalculate () |
void | freeze () |
void | unfreeze () |
![]() | |
Observable (const Observable &) | |
Observable & | operator= (const Observable &) |
void | notifyObservers () |
![]() | |
Observer (const Observer &) | |
Observer & | operator= (const Observer &) |
std::pair< iterator, bool > | registerWith (const boost::shared_ptr< Observable > &) |
void | registerWithObservables (const boost::shared_ptr< Observer > &) |
Size | unregisterWith (const boost::shared_ptr< Observable > &) |
void | unregisterWithAll () |
Additional Inherited Members | |
![]() | |
typedef std::set< boost::shared_ptr< Observable > > | set_type |
typedef set_type::iterator | iterator |
![]() | |
Size | steps () const |
Real | dm (Size i) const |
Real | m (Size i) const |
Real | densitydm (Size i) const |
![]() | |
virtual void | calculate () const |
![]() | |
Handle< Quote > | correlation_ |
Real | max_ |
Size | steps_ |
Real | min_ |
std::vector< Real > | y_ |
std::vector< Real > | cumulativeY_ |
![]() | |
bool | calculated_ |
bool | frozen_ |
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 \( \phi(x) = \exp(-x^2/2) / \sqrt{2\pi}. \)
Density function of M.
Derived classes must override this method and ensure zero mean and unit variance.
Implements OneFactorCopula.
Cumulative distribution of Z.
Derived classes must override this method and ensure zero mean and unit variance.
Implements OneFactorCopula.
overrides the base class implementation based on table data
Reimplemented from OneFactorCopula.
overrides the base class implementation based on table data
Reimplemented from OneFactorCopula.