QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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claytoncopula.cpp
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1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2008 Marek Glowacki
5
6 This file is part of QuantLib, a free-software/open-source library
7 for financial quantitative analysts and developers - http://quantlib.org/
8
9 QuantLib is free software: you can redistribute it and/or modify it
10 under the terms of the QuantLib license. You should have received a
11 copy of the license along with this program; if not, please email
12 <quantlib-dev@lists.sf.net>. The license is also available online at
13 <http://quantlib.org/license.shtml>.
14
15 This program is distributed in the hope that it will be useful, but WITHOUT
16 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
17 FOR A PARTICULAR PURPOSE. See the license for more details.
18*/
19
21#include <ql/errors.hpp>
22#include <algorithm>
23
24using std::max;
25using std::pow;
26
27namespace QuantLib {
28
30 {
31 QL_REQUIRE(theta >= -1.0,
32 "theta (" << theta << ") must be greater or equal to -1");
33 QL_REQUIRE(theta != 0.0,
34 "theta (" << theta << ") must be different from 0");
35 }
36
38 {
39 QL_REQUIRE(x >= 0.0 && x <=1.0 ,
40 "1st argument (" << x << ") must be in [0,1]");
41 QL_REQUIRE(y >= 0.0 && y <=1.0 ,
42 "2nd argument (" << y << ") must be in [0,1]");
43 using namespace std;
44 return max( pow( pow(x,-theta_)+pow(y,-theta_)-1.0 , -1.0/theta_) , 0.0);
45 }
46
47}
Real operator()(Real x, Real y) const
Clayton copula.
Classes and functions for error handling.
#define QL_REQUIRE(condition, message)
throw an error if the given pre-condition is not verified
Definition: errors.hpp:117
QL_REAL Real
real number
Definition: types.hpp:50
Real theta
Definition: any.hpp:35
STL namespace.