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

Public Member Functions inherited from OneFactorCopula
	OneFactorCopula (const 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 ()

void	recalculate ()

void	freeze ()

void	unfreeze ()

Public Member Functions inherited from Observable
	Observable (const Observable &)

Observable &	operator= (const Observable &)

void	notifyObservers ()

Public Member Functions inherited from Observer
	Observer (const Observer &)

Observer &	operator= (const Observer &)

std::pair< std::set < boost::shared_ptr < Observable > >::iterator, bool >	registerWith (const boost::shared_ptr< Observable > &)

Size	unregisterWith (const boost::shared_ptr< Observable > &)

void	unregisterWithAll ()

Additional Inherited Members
Protected Member Functions inherited from OneFactorCopula
Size	steps () const

Real	dm (Size i) const

Real	m (Size i) const

Real	densitydm (Size i) const

Protected Attributes inherited from OneFactorCopula
Handle< Quote >	correlation_

Real	max_

Size	steps_

Real	min_

std::vector< Real >	y_

std::vector< Real >	cumulativeY_

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 $\phi(x) = \exp(-x^2/2) / \sqrt{2\pi}.$