QuantLib_GaussianCopulaPolicy man page

GaussianCopulaPolicy —

Synopsis

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

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
Probability cumulativeY (Real val, Size iVariable) const

Probability cumulativeZ (Real z) const
Cumulative probability of the idiosyncratic factors (all the same)
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

Disposable< std::vector< Real > > allFactorCumulInverter (const std::vector< Real > &probs) const

Detailed Description

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

Member Function Documentation

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.

Probability cumulativeY (Real val, Size iVariable) const

Cumulative probability of the indexed latent variable

Parameters:

iVariable The index of the latent variable requested.

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.

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

Real inverseCumulativeZ (Probability p) const

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

Real inverseCumulativeDensity (Probability p, Size iFactor) const

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

Author

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Referenced By

allFactorCumulInverter(3), cumulativeY(3), cumulativeZ(3), GaussianCopulaPolicy(3), getInitTraits(3), initTraits(3), inverseCumulativeDensity(3), inverseCumulativeY(3), inverseCumulativeZ(3) and numFactors(3) are aliases of QuantLib_GaussianCopulaPolicy(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib