OneFactorStudentGaussianCopula Class Reference
One-factor Student t - Gaussian Copula. More...
#include <ql/experimental/credit/onefactorstudentcopula.hpp>
Inheritance diagram for OneFactorStudentGaussianCopula:

Public Member Functions | |
OneFactorStudentGaussianCopula (const Handle< Quote > &correlation, int nm, Real maximum=10, Size integrationSteps=200) | |
Real | density (Real m) const |
Density function of M. | |
Real | cumulativeZ (Real z) const |
Cumulative distribution of Z. |
Detailed Description
One-factor Student t - Gaussian Copula.The copula model
is specified here by setting the probability density functions for (
) to a Gaussian and for
(
) to a Student t-distribution with
degrees of freedom.
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
- Possible enhancements:
- Improve performance/accuracy of the calculation of inverse cumulative Y. Tabulate and store it for selected correlations?
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.