OneFactorGaussianCopula Class Reference
One-factor Gaussian Copula. More...
#include <ql/experimental/credit/onefactorgaussiancopula.hpp>
Inheritance diagram for OneFactorGaussianCopula:

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
is specified here by setting the desnity function for all variables,
and also
to the standard normal distribution
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.