QuantLib
: a free/open-source library for quantitative finance
Fully annotated sources - version 1.32
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ql
math
copulas
gaussiancopula.hpp
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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
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/*
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Copyright (C) 2008 Marek Glowacki
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This file is part of QuantLib, a free-software/open-source library
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for financial quantitative analysts and developers - http://quantlib.org/
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QuantLib is free software: you can redistribute it and/or modify it
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under the terms of the QuantLib license. You should have received a
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copy of the license along with this program; if not, please email
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<quantlib-dev@lists.sf.net>. The license is also available online at
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<http://quantlib.org/license.shtml>.
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This program is distributed in the hope that it will be useful, but WITHOUT
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ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
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FOR A PARTICULAR PURPOSE. See the license for more details.
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*/
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#ifndef quantlib_math_gaussian_copula_h
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#define quantlib_math_gaussian_copula_h
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#include <ql/math/distributions/bivariatenormaldistribution.hpp>
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#include <functional>
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namespace
QuantLib
{
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class
GaussianCopula
{
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public
:
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QL_DEPRECATED
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typedef
Real
first_argument_type
;
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QL_DEPRECATED
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typedef
Real
second_argument_type
;
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QL_DEPRECATED
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typedef
Real
result_type
;
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GaussianCopula
(
Real
rho);
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Real
operator()
(
Real
x,
Real
y)
const
;
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private
:
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Real
rho_
;
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BivariateCumulativeNormalDistributionWe04DP
bivariate_normal_cdf_
;
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InverseCumulativeNormal
invCumNormal_
;
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};
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}
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#endif
QuantLib::BivariateCumulativeNormalDistributionWe04DP
Cumulative bivariate normal distibution function (West 2004)
Definition:
bivariatenormaldistribution.hpp:92
QuantLib::GaussianCopula
Gaussian copula.
Definition:
gaussiancopula.hpp:33
QuantLib::GaussianCopula::second_argument_type
QL_DEPRECATED typedef Real second_argument_type
Definition:
gaussiancopula.hpp:45
QuantLib::GaussianCopula::operator()
Real operator()(Real x, Real y) const
Definition:
gaussiancopula.cpp:31
QuantLib::GaussianCopula::invCumNormal_
InverseCumulativeNormal invCumNormal_
Definition:
gaussiancopula.hpp:58
QuantLib::GaussianCopula::rho_
Real rho_
Definition:
gaussiancopula.hpp:56
QuantLib::GaussianCopula::first_argument_type
QL_DEPRECATED typedef Real first_argument_type
Definition:
gaussiancopula.hpp:39
QuantLib::GaussianCopula::bivariate_normal_cdf_
BivariateCumulativeNormalDistributionWe04DP bivariate_normal_cdf_
Definition:
gaussiancopula.hpp:57
QuantLib::GaussianCopula::result_type
QL_DEPRECATED typedef Real result_type
Definition:
gaussiancopula.hpp:51
QuantLib::InverseCumulativeNormal
Inverse cumulative normal distribution function.
Definition:
normaldistribution.hpp:124
QuantLib::Real
QL_REAL Real
real number
Definition:
types.hpp:50
QuantLib
Definition:
any.hpp:35
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