plackettcopula.cpp

Go to the documentation of this file.

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2010 Hachemi Benyahia
 Copyright (C) 2010 DeriveXperts SAS
 
 This file is part of QuantLib, a free-software/open-source library
 for financial quantitative analysts and developers - http://quantlib.org/
 
 QuantLib is free software: you can redistribute it and/or modify it
 under the terms of the QuantLib license.  You should have received a
 copy of the license along with this program; if not, please email
 <quantlib-dev@lists.sf.net>. The license is also available online at
 <http://quantlib.org/license.shtml>.
 
 This program is distributed in the hope that it will be useful, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
 FOR A PARTICULAR PURPOSE.  See the license for more details.
*/
 
#include <ql/math/copulas/plackettcopula.hpp>
#include <ql/errors.hpp>
 
namespace QuantLib {
 
    PlackettCopula::PlackettCopula(Real theta) : theta_(theta)
    {
        QL_REQUIRE(theta >= 0.0,
                   "theta (" << theta << ") must be greater or equal to 0");
        QL_REQUIRE(theta != 1.0,
                   "theta (" << theta << ") must be different from 1");
    }
 
    Real PlackettCopula::operator()(Real x, Real y) const
    {
        QL_REQUIRE(x >= 0.0 && x <=1.0 ,
                   "1st argument (" << x << ") must be in [0,1]");
        QL_REQUIRE(y >= 0.0 && y <=1.0 ,
                   "2nd argument (" << y << ") must be in [0,1]");
        using namespace std;
        return ((1.0+(theta_-1.0)*(x+y))-sqrt(std::pow(1.0+(theta_-1.0)*(x+y),2.0)-4.0*x*y*theta_*(theta_-1.0)))/(2.0*(theta_-1.0));
    }
 
}