GaussianCopula Class Reference

Gaussian copula. More...

#include <ql/math/copulas/gaussiancopula.hpp>

Collaboration diagram for GaussianCopula:

Public Member Functions
	GaussianCopula (Real rho)
Real	operator() (Real x, Real y) const

Public Attributes
QL_DEPRECATED typedef Real	first_argument_type
QL_DEPRECATED typedef Real	second_argument_type
QL_DEPRECATED typedef Real	result_type

Private Attributes
Real	rho_
BivariateCumulativeNormalDistributionWe04DP	bivariate_normal_cdf_
InverseCumulativeNormal	invCumNormal_

Detailed Description

Gaussian copula.

Definition at line 33 of file gaussiancopula.hpp.

Constructor & Destructor Documentation

GaussianCopula()

GaussianCopula

(

Real

rho

)

Definition at line 24 of file gaussiancopula.cpp.

Member Function Documentation

operator()()

Real operator()	(	Real	x,
		Real	y
	)		const

Definition at line 31 of file gaussiancopula.cpp.

Member Data Documentation

first_argument_type

QL_DEPRECATED typedef Real first_argument_type

Deprecated:

Use auto or decltype instead. Deprecated in version 1.29.

Definition at line 39 of file gaussiancopula.hpp.

second_argument_type

QL_DEPRECATED typedef Real second_argument_type

Deprecated:

Use auto or decltype instead. Deprecated in version 1.29.

Definition at line 45 of file gaussiancopula.hpp.

result_type

QL_DEPRECATED typedef Real result_type

Deprecated:

Use auto or decltype instead. Deprecated in version 1.29.

Definition at line 51 of file gaussiancopula.hpp.

rho_

Real rho_

private

Definition at line 56 of file gaussiancopula.hpp.

bivariate_normal_cdf_

BivariateCumulativeNormalDistributionWe04DP bivariate_normal_cdf_

private

Definition at line 57 of file gaussiancopula.hpp.

invCumNormal_

InverseCumulativeNormal invCumNormal_

private

Definition at line 58 of file gaussiancopula.hpp.