QuantLib
: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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ql
math
copulas
gaussiancopula.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) 2008 Marek Glowacki
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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/gaussiancopula.hpp
>
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namespace
QuantLib
{
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GaussianCopula::GaussianCopula
(
Real
rho
)
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: rho_(
rho
), bivariate_normal_cdf_(rho_)
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{
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QL_REQUIRE
(
rho
>=-1.0 &&
rho
<= 1.00,
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"rho ("
<<
rho
<<
") must be in [-1,1]"
);
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}
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Real
GaussianCopula::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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return
bivariate_normal_cdf_
(
invCumNormal_
(x),
invCumNormal_
(
y
));
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}
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}
y
Real y
Definition:
andreasenhugevolatilityinterpl.cpp:46
QuantLib::GaussianCopula::GaussianCopula
GaussianCopula(Real rho)
Definition:
gaussiancopula.cpp:24
QuantLib::GaussianCopula::operator()
Real operator()(Real x, Real y) const
Definition:
gaussiancopula.cpp:31
QuantLib::GaussianCopula::invCumNormal_
InverseCumulativeNormal invCumNormal_
Definition:
gaussiancopula.hpp:40
QuantLib::GaussianCopula::bivariate_normal_cdf_
BivariateCumulativeNormalDistributionWe04DP bivariate_normal_cdf_
Definition:
gaussiancopula.hpp:39
QL_REQUIRE
#define QL_REQUIRE(condition, message)
throw an error if the given pre-condition is not verified
Definition:
errors.hpp:117
gaussiancopula.hpp
gaussian copula
QuantLib::Real
QL_REAL Real
real number
Definition:
types.hpp:50
rho
Real rho
Definition:
hestonrndcalculator.cpp:36
QuantLib
Definition:
any.hpp:35
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