- QuantLib
- OneFactorStudentCopula
 
One-factor Double Student t-Copula. More...
#include <ql/experimental/credit/onefactorstudentcopula.hpp>

| Public Member Functions | |
| OneFactorStudentCopula (const Handle< Quote > &correlation, int nz, 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. | |
One-factor Double Student t-Copula.
The copula model
![\[ Y_i = a_i\,M+\sqrt{1-a_i^2}\:Z_i \]](form_88.png) 
is specified here by setting the probability density functions for  (
 (  ) and
) and  (
 (  ) to Student t-distributions with
) to Student t-distributions with  and
 and  degrees of freedom, respectively.
 degrees of freedom, respectively.
The variance of the Student t-distribution with  degrees of freedom is
 degrees of freedom is  . Since the copula approach requires zero mean and unit variance distributions, variables
. Since the copula approach requires zero mean and unit variance distributions, variables  and
 and  are scaled by
 are scaled by  and
 and  respectively.
 respectively.
Density function of M.
Derived classes must override this method and ensure zero mean and unit variance.
Implements OneFactorCopula.
| Real cumulativeZ | ( | Real | z | ) | const  [virtual] | 
Cumulative distribution of Z.
Derived classes must override this method and ensure zero mean and unit variance.
Implements OneFactorCopula.