GaussianCopulaPolicy Struct Reference

#include <ql/experimental/math/gaussiancopulapolicy.hpp>

Collaboration diagram for GaussianCopulaPolicy:

Public Types
typedef int	initTraits

Public Member Functions
	GaussianCopulaPolicy (const std::vector< std::vector< Real > > &factorWeights=std::vector< std::vector< Real > >(), const initTraits &dummy=int())
Size	numFactors () const
initTraits	getInitTraits () const
	returns a copy of the initialization arguments More...
Probability	cumulativeY (Real val, Size iVariable) const
Probability	cumulativeZ (Real z) const
	Cumulative probability of the idiosyncratic factors (all the same) More...
Probability	density (const std::vector< Real > &m) const
Real	inverseCumulativeY (Probability p, Size iVariable) const
Real	inverseCumulativeZ (Probability p) const
Real	inverseCumulativeDensity (Probability p, Size iFactor) const
std::vector< Real >	allFactorCumulInverter (const std::vector< Real > &probs) const

Private Attributes
Size	numFactors_

Static Private Attributes
static const NormalDistribution	density_
static const CumulativeNormalDistribution	cumulative_

Detailed Description

Gaussian Latent Model's copula policy. Its simplicity is a result of the convolution stability of the Gaussian distribution.

Examples

BasketLosses.cpp.

Definition at line 35 of file gaussiancopulapolicy.hpp.

Member Typedef Documentation

initTraits

typedef int initTraits

Definition at line 37 of file gaussiancopulapolicy.hpp.

Constructor & Destructor Documentation

GaussianCopulaPolicy()

GaussianCopulaPolicy ( const std::vector< std::vector< Real > > &  factorWeights = std::vector<std::vector<Real> >(), const initTraits &  dummy = int()  )

explicit

Definition at line 39 of file gaussiancopulapolicy.hpp.

Member Function Documentation

numFactors()

Size numFactors

(

)

const

Number of independent random factors. This is the only methos that ould stop the class from being static, it is needed for the MC generator construction.

Definition at line 59 of file gaussiancopulapolicy.hpp.

getInitTraits()

initTraits getInitTraits

(

)

const

returns a copy of the initialization arguments

Definition at line 64 of file gaussiancopulapolicy.hpp.

cumulativeY()

Probability cumulativeY	(	Real	val,
		Size	iVariable
	)		const

Cumulative probability of a given latent variable The iVariable parameter is the index of the requested variable.

Definition at line 71 of file gaussiancopulapolicy.hpp.

cumulativeZ()

Probability cumulativeZ

(

Real

z

)

const

Cumulative probability of the idiosyncratic factors (all the same)

Definition at line 75 of file gaussiancopulapolicy.hpp.

density()

Probability density

(

const std::vector< Real > &

m

)

const

Probability density of a given realization of values of the systemic factors (remember they are independent). In the normal case, since they all follow the same law it is just a trivial product of the same density. Intended to be used in numerical integration of an arbitrary function depending on those values.

Definition at line 85 of file gaussiancopulapolicy.hpp.

inverseCumulativeY()

Real inverseCumulativeY	(	Probability	p,
		Size	iVariable
	)		const

Returns the inverse of the cumulative distribution of the (modelled) latent variable (as indexed by iVariable). The normal stability avoids the convolution of the factors' distributions

Definition at line 93 of file gaussiancopulapolicy.hpp.

Here is the call graph for this function:

inverseCumulativeZ()

Real inverseCumulativeZ

(

Probability

p

)

const

Returns the inverse of the cumulative distribution of the idiosyncratic factor (identically distributed for all latent variables)

Definition at line 99 of file gaussiancopulapolicy.hpp.

Here is the call graph for this function:

inverseCumulativeDensity()

Real inverseCumulativeDensity	(	Probability	p,
		Size	iFactor
	)		const

Returns the inverse of the cumulative distribution of the systemic factor iFactor.

Definition at line 105 of file gaussiancopulapolicy.hpp.

Here is the call graph for this function:

allFactorCumulInverter()

std::vector< Real > allFactorCumulInverter

(

const std::vector< Real > &

probs

)

const

Definition at line 110 of file gaussiancopulapolicy.hpp.

Member Data Documentation

numFactors_

Size numFactors_

mutableprivate

Definition at line 118 of file gaussiancopulapolicy.hpp.

density_

const NormalDistribution density_

staticprivate

Initial value:

= 
        NormalDistribution()

Definition at line 120 of file gaussiancopulapolicy.hpp.

cumulative_

const CumulativeNormalDistribution cumulative_

staticprivate

Initial value:

= 
        CumulativeNormalDistribution()

Definition at line 121 of file gaussiancopulapolicy.hpp.