One-factor Gaussian Copula. More...
#include <ql/experimental/credit/onefactorgaussiancopula.hpp>
Public Member Functions | |
| OneFactorGaussianCopula (const Handle< Quote > &correlation, Real maximum=5, Size integrationSteps=50) | |
| Real | density (Real m) const override |
| Density function of M. | |
| Real | cumulativeZ (Real z) const override |
| Cumulative distribution of Z. | |
| Real | cumulativeY (Real y) const override |
| Real | testCumulativeY (Real y) const |
| Real | inverseCumulativeY (Real p) const override |
| Public Member Functions inherited from OneFactorCopula | |
| OneFactorCopula (Handle< Quote > correlation, Real maximum=5.0, Size integrationSteps=50, Real minimum=-5.0) | |
| Real | correlation () const |
| Single correlation parameter. | |
| Real | conditionalProbability (Real prob, Real m) const |
| Conditional probability. | |
| std::vector< Real > | conditionalProbability (const std::vector< Real > &prob, Real m) const |
| Vector of conditional probabilities. | |
| Real | integral (Real p) const |
| template<class F> | |
| Real | integral (const F &f, std::vector< Real > &probabilities) const |
| template<class F> | |
| Distribution | integral (const F &f, const std::vector< Real > &nominals, const std::vector< Real > &probabilities) const |
| int | checkMoments (Real tolerance) const |
| Public Member Functions inherited from LazyObject | |
| void | update () override |
| bool | isCalculated () const |
| void | forwardFirstNotificationOnly () |
| void | alwaysForwardNotifications () |
| void | recalculate () |
| void | freeze () |
| void | unfreeze () |
| Public Member Functions inherited from Observable | |
| Observable (const Observable &) | |
| Observable & | operator= (const Observable &) |
| Observable (Observable &&)=delete | |
| Observable & | operator= (Observable &&)=delete |
| void | notifyObservers () |
| Public Member Functions inherited from Observer | |
| Observer (const Observer &) | |
| Observer & | operator= (const Observer &) |
| std::pair< iterator, bool > | registerWith (const ext::shared_ptr< Observable > &) |
| void | registerWithObservables (const ext::shared_ptr< Observer > &) |
| Size | unregisterWith (const ext::shared_ptr< Observable > &) |
| void | unregisterWithAll () |
| virtual void | deepUpdate () |
Additional Inherited Members | |
| Public Types inherited from Observer | |
| typedef set_type::iterator | iterator |
| Protected Member Functions inherited from OneFactorCopula | |
| Size | steps () const |
| Real | dm (Size i) const |
| Real | m (Size i) const |
| Real | densitydm (Size i) const |
| virtual void | calculate () const |
| Protected Attributes inherited from OneFactorCopula | |
| Handle< Quote > | correlation_ |
| Real | max_ |
| Size | steps_ |
| Real | min_ |
| std::vector< Real > | y_ |
| std::vector< Real > | cumulativeY_ |
| bool | calculated_ = false |
| bool | frozen_ = false |
| bool | alwaysForward_ |
Detailed Description
One-factor Gaussian Copula.
The copula model
\[ Y_i = a_i\,M+\sqrt{1-a_i^2}\:Z_i \]
is specified here by setting the desnity function for all variables, \( M, Z,\) and also \( Y \) to the standard normal distribution \( \phi(x) = \exp(-x^2/2) / \sqrt{2\pi}. \)
Member Function Documentation
◆ density()
Density function of M.
Derived classes must override this method and ensure zero mean and unit variance.
Implements OneFactorCopula.
◆ cumulativeZ()
Cumulative distribution of Z.
Derived classes must override this method and ensure zero mean and unit variance.
Implements OneFactorCopula.
◆ cumulativeY()
overrides the base class implementation based on table data
Reimplemented from OneFactorCopula.
◆ inverseCumulativeY()
overrides the base class implementation based on table data
Reimplemented from OneFactorCopula.
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