QuantLib_OneFactorGaussianStudentCopula man page

OneFactorGaussianStudentCopula — One-factor Gaussian-Student t-Copula.

Synopsis

#include <ql/experimental/credit/onefactorstudentcopula.hpp>

Inherits OneFactorCopula.

Public Member Functions

OneFactorGaussianStudentCopula (const Handle< Quote > &correlation, int nz, Real maximum=10, Size integrationSteps=200)

Real density (Real m) const
Density function of M.
Real cumulativeZ (Real z) const
Cumulative distribution of Z.

Additional Inherited Members

Detailed Description

One-factor Gaussian-Student t-Copula.

The copula model [ Y_i = a_iM+sqrt{1-a_i^2}Z_i ]

is specified here by setting the probability density functions for $ Z_i $ ( $ D_Z $) to a Student t-distributions with $ N_z $ degrees of freedom, and for $ M $ ( $ D_M $) to a Gaussian.

The variance of the Student t-distribution with $ 0 $ degrees of freedom is $ 0 / (0 - 2) $. Since the copula approach requires zero mean and unit variance distributions, $ Z $ is scaled by $ sqrt{(N_z - 2) / N_z}.$

Member Function Documentation

Real density (Real m) const [virtual]

Density function of M. Derived classes must override this method and ensure zero mean and unit variance.

Implements OneFactorCopula.

Real cumulativeZ (Real z) const [virtual]

Cumulative distribution of Z. Derived classes must override this method and ensure zero mean and unit variance.

Implements OneFactorCopula.

Author

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Referenced By

OneFactorGaussianStudentCopula(3) is an alias of QuantLib_OneFactorGaussianStudentCopula(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib