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