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
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.