QuantLib: a free/open-source library for quantitative finance
Reference manual - version 1.40
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Public Member Functions | List of all members
GaussianCopula Class Reference

Gaussian copula. More...

#include <ql/math/copulas/gaussiancopula.hpp>

Public Member Functions

 GaussianCopula (Real rho)
Real operator() (Real x, Real y) const

Detailed Description

Gaussian copula.

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