# QuantLib_TCopulaPolicy man page

TCopulaPolicy — Student-T Latent Model's copula policy.

## Synopsis

`#include <ql/experimental/math/tcopulapolicy.hpp>`

### Classes

struct initTraits

### Public Member Functions

TCopulaPolicy (const std::vector< std::vector< Real > > &factorWeights=std::vector< std::vector< Real > >(), const initTraits &vals=initTraits())
Size numFactors () const
Number of independent random factors.
initTraits getInitTraits () const
returns a copy of the initialization arguments
const std::vector< Real > & varianceFactors () const
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

Student-T Latent Model's copula policy.

Describes the copula of a set of normalized Student-T independent random factors to be fed into the latent variable model. The latent model requires the independent variables to be of unit variance so the policy expects the factors coefficients to be as usual and the T variables to be normalized, the normalization is performed by the policy. To normalize the random variables they are divided by the square root of the variance of each T ( \$ ac{0}{0-2}\$)

## Constructor & Destructor Documentation

### TCopulaPolicy (const std::vector< std::vector< Real > > & factorWeights = std::vector< std::vector< Real > >(), const initTraits & vals = initTraits()) [explicit]

Delayed initialization of the distribution parameters and caches. To be called by the latent model.

## Member Function Documentation

### Probability cumulativeY (Real val, Size iVariable) const

Cumulative probability of a given latent variable. The iVariable parameter is the index of the requested variable.

### Probability density (const std::vector< Real > & m) const

Probability density of a given realization of values of the systemic factors (remember they are independent). 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). Involves the convolution of the factors' distributions.

### Real inverseCumulativeZ (Probability p) const

Returns the inverse of the cumulative distribution of the idiosincratic factor. The LM here is limited to all idiosincratic factors following the same distribution.

### 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

The man pages TCopulaPolicy(3) and varianceFactors(3) are aliases of QuantLib_TCopulaPolicy(3).

Wed Feb 7 2018 Version 1.10.1 QuantLib