- QuantLib
- OneFactorGaussianCopula
 
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 | 
| 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 | 
One-factor Gaussian 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 desnity function for all variables,  and also
 and also  to the standard normal distribution
 to the standard normal distribution  
 
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.
| Real cumulativeY | ( | Real | y | ) | const  [virtual] | 
overrides the base class implementation based on table data
Reimplemented from OneFactorCopula.
| Real inverseCumulativeY | ( | Real | p | ) | const  [virtual] | 
overrides the base class implementation based on table data
Reimplemented from OneFactorCopula.