QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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One-factor Gaussian copula. More...
#include <ql/experimental/credit/onefactorcopula.hpp>
#include <ql/math/distributions/normaldistribution.hpp>
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Classes | |
class | OneFactorGaussianCopula |
One-factor Gaussian Copula. More... | |
Namespaces | |
namespace | QuantLib |
One-factor Gaussian copula.
Definition in file onefactorgaussiancopula.hpp.