QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Classes | Namespaces
onefactorgaussiancopula.hpp File Reference

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
 

Detailed Description

One-factor Gaussian copula.

Definition in file onefactorgaussiancopula.hpp.