GaussianCopulaPolicy Struct Reference

#include <ql/experimental/math/gaussiancopulapolicy.hpp>

Public Types
typedef int	initTraits

Public Member Functions
	GaussianCopulaPolicy (const std::vector< std::vector< Real > > &factorWeights=std::vector< std::vector< Real > >(), const initTraits &dummy=int())
Size	numFactors () const
initTraits	getInitTraits () const
	returns a copy of the initialization arguments
Probability	cumulativeY (Real val, Size iVariable) const
Probability	cumulativeZ (Real z) const
	Cumulative probability of the idiosyncratic factors (all the same)
Probability	density (const std::vector< Real > &m) const
Real	inverseCumulativeY (Probability p, Size iVariable) const
Real	inverseCumulativeZ (Probability p) const
Real	inverseCumulativeDensity (Probability p, Size iFactor) const
std::vector< Real >	allFactorCumulInverter (const std::vector< Real > &probs) const

Detailed Description

Gaussian Latent Model's copula policy. Its simplicity is a result of the convolution stability of the Gaussian distribution.

Examples

BasketLosses.cpp.

Member Function Documentation

numFactors()

Size numFactors

(

)

const

Number of independent random factors. This is the only methos that ould stop the class from being static, it is needed for the MC generator construction.

cumulativeY()

Probability cumulativeY	(	Real	val,
		Size	iVariable ) const

Cumulative probability of a given latent variable The iVariable parameter is the index of the requested variable.

density()

Probability density

(

const std::vector< Real > &

m

)

const

Probability density of a given realization of values of the systemic factors (remember they are independent). In the normal case, since they all follow the same law it is just a trivial product of the same density. Intended to be used in numerical integration of an arbitrary function depending on those values.

inverseCumulativeY()

Real inverseCumulativeY	(	Probability	p,
		Size	iVariable ) const

Returns the inverse of the cumulative distribution of the (modelled) latent variable (as indexed by iVariable). The normal stability avoids the convolution of the factors' distributions

inverseCumulativeZ()

Real inverseCumulativeZ

(

Probability

p

)

const

Returns the inverse of the cumulative distribution of the idiosyncratic factor (identically distributed for all latent variables)

inverseCumulativeDensity()

Real inverseCumulativeDensity	(	Probability	p,
		Size	iFactor ) const

Returns the inverse of the cumulative distribution of the systemic factor iFactor.