QuantLib_OneFactorStudentCopula man page

OneFactorStudentCopula — One-factor Double Student t-Copula.

Synopsis

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

Inherits OneFactorCopula.

Public Member Functions

OneFactorStudentCopula (const Handle< Quote > &correlation, int nz, int nm, 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 Double 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 $) and $ M $ ( $ D_M $) to Student t-distributions with $ N_z $ and $ N_m $ degrees of freedom, respectively.

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, variables $ Z $ and $ M $ are scaled by $ sqrt{(N_z - 2) / N_z} $ and $ sqrt{(N_m - 2) / N_m}, $ respectively.

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

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

OneFactorStudentCopula(3) is an alias of QuantLib_OneFactorStudentCopula(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib