QuantLib
: a free/open-source library for quantitative finance
Fully annotated sources - version 1.32
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ql
math
copulas
galamboscopula.cpp
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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) 2010 Hachemi Benyahia
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Copyright (C) 2010 DeriveXperts SAS
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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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#include <ql/math/copulas/galamboscopula.hpp>
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#include <ql/errors.hpp>
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namespace
QuantLib
{
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GalambosCopula::GalambosCopula
(
Real
theta) : theta_(theta)
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{
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QL_REQUIRE(theta >= 0.0,
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"theta ("
<< theta <<
") must be greater or equal to 0"
);
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}
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Real
GalambosCopula::operator()
(
Real
x,
Real
y)
const
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{
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QL_REQUIRE(x >= 0.0 && x <=1.0 ,
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"1st argument ("
<< x <<
") must be in [0,1]"
);
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QL_REQUIRE(y >= 0.0 && y <=1.0 ,
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"2nd argument ("
<< y <<
") must be in [0,1]"
);
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using namespace
std
;
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return
x*y*exp(pow(pow(-log(x),-
theta_
)+pow(-log(y),-
theta_
),-1/
theta_
));
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}
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}
QuantLib::GalambosCopula::GalambosCopula
GalambosCopula(Real theta)
Definition:
galamboscopula.cpp:26
QuantLib::GalambosCopula::operator()
Real operator()(Real x, Real y) const
Definition:
galamboscopula.cpp:32
QuantLib::GalambosCopula::theta_
Real theta_
Definition:
galamboscopula.hpp:57
QuantLib::Real
QL_REAL Real
real number
Definition:
types.hpp:50
QuantLib
Definition:
any.hpp:35
std
STL namespace.
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