TCopulaPolicy Class Reference

Student-T Latent Model's copula policy. More...

#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 ( \( \frac{\nu}{\nu-2}\))

Examples

BasketLosses.cpp.

Constructor & Destructor Documentation

TCopulaPolicy()

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

cumulativeY()

Probability cumulativeY	(	Real	val,
		Size	iVariable
	)		const

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

density()

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.

inverseCumulativeY()

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.

inverseCumulativeZ()

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.

inverseCumulativeDensity()

Real inverseCumulativeDensity	(	Probability	p,
		Size	iFactor
	)		const

Returns the inverse of the cumulative distribution of the systemic factor iFactor.