TCopulaPolicy Class Reference

Student-T Latent Model's copula policy. More...

#include <tcopulapolicy.hpp>

Collaboration diagram for TCopulaPolicy:

Classes
struct	initTraits

Public Member Functions
	TCopulaPolicy (const std::vector< std::vector< Real > > &factorWeights=std::vector< std::vector< Real > >(), const initTraits &vals=initTraits())
Size	numFactors () const
	Number of independent random factors. More...
initTraits	getInitTraits () const
	returns a copy of the initialization arguments More...
const std::vector< Real > &	varianceFactors () const
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
std::vector< boost::math::students_t_distribution< Real > >	distributions_
std::vector< Real >	varianceFactors_
std::vector< CumulativeBehrensFisher >	latentVarsCumul_
std::vector< InverseCumulativeBehrensFisher >	latentVarsInverters_

Detailed Description

Student-T Latent Model's copula policy.

Describes the copula of a set of normalized Student-T independent random factors to be fed into the latent variable model. The latent model requires the independent variables to be of unit variance so the policy expects the factors coefficients to be as usual and the T variables to be normalized, the normalization is performed by the policy. To normalize the random variables they are divided by the square root of the variance of each T ( \( \frac{\nu}{\nu-2}\))

Examples

BasketLosses.cpp.

Definition at line 41 of file tcopulapolicy.hpp.

Constructor & Destructor Documentation

TCopulaPolicy()

TCopulaPolicy ( const std::vector< std::vector< Real > > &  factorWeights = std::vector<std::vector<Real> >(), const initTraits &  vals = initTraits()  )

explicit

Delayed initialization of the distribution parameters and caches. To be called by the latent model.

Definition at line 26 of file tcopulapolicy.cpp.

Member Function Documentation

numFactors()

Size numFactors

(

)

const

Number of independent random factors.

Definition at line 66 of file tcopulapolicy.hpp.

getInitTraits()

initTraits getInitTraits

(

)

const

returns a copy of the initialization arguments

Definition at line 72 of file tcopulapolicy.hpp.

varianceFactors()

const std::vector< Real > & varianceFactors

(

)

const

Definition at line 81 of file tcopulapolicy.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 87 of file tcopulapolicy.hpp.

cumulativeZ()

Probability cumulativeZ

(

Real

z

)

const

Cumulative probability of the idiosyncratic factors (all the same)

Definition at line 95 of file tcopulapolicy.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). Intended to be used in numerical integration of an arbitrary function depending on those values.

Definition at line 104 of file tcopulapolicy.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). Involves the convolution of the factors' distributions.

Definition at line 120 of file tcopulapolicy.hpp.

inverseCumulativeZ()

Real inverseCumulativeZ

(

Probability

p

)

const

Returns the inverse of the cumulative distribution of the idiosincratic factor. The LM here is limited to all idiosincratic factors following the same distribution.

Definition at line 131 of file tcopulapolicy.hpp.

inverseCumulativeDensity()

Real inverseCumulativeDensity	(	Probability	p,
		Size	iFactor
	)		const

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

Definition at line 138 of file tcopulapolicy.hpp.

allFactorCumulInverter()

std::vector< Real > allFactorCumulInverter

(

const std::vector< Real > &

probs

)

const

Definition at line 65 of file tcopulapolicy.cpp.

Member Data Documentation

distributions_

std::vector<boost::math::students_t_distribution<Real> > distributions_

mutableprivate

Definition at line 149 of file tcopulapolicy.hpp.

varianceFactors_

std::vector<Real> varianceFactors_

mutableprivate

Definition at line 150 of file tcopulapolicy.hpp.

latentVarsCumul_

std::vector<CumulativeBehrensFisher> latentVarsCumul_

mutableprivate

Definition at line 151 of file tcopulapolicy.hpp.

latentVarsInverters_

std::vector<InverseCumulativeBehrensFisher> latentVarsInverters_

mutableprivate

Definition at line 152 of file tcopulapolicy.hpp.