OneFactorStudentCopula Class Reference
One-factor Double Student t-Copula. More...
#include <ql/experimental/credit/onefactorstudentcopula.hpp>

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. |
Detailed Description
One-factor Double Student t-Copula.
The copula model
is specified here by setting the probability density functions for (
) and
(
) to Student t-distributions with
and
degrees of freedom, respectively.
The variance of the Student t-distribution with degrees of freedom is
. Since the copula approach requires zero mean and unit variance distributions, variables
and
are scaled by
and
respectively.
- Possible enhancements:
- Improve performance/accuracy of the calculation of inverse cumulative Y. Tabulate and store it for selected correlations?
Member Function Documentation
Density function of M.
Derived classes must override this method and ensure zero mean and unit variance.
Implements OneFactorCopula.
Cumulative distribution of Z.
Derived classes must override this method and ensure zero mean and unit variance.
Implements OneFactorCopula.