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

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
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.