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<li class="navelem"><a class="el" href="namespace_quant_lib.html">QuantLib</a></li><li class="navelem"><a class="el" href="struct_quant_lib_1_1_gaussian_copula_policy.html">GaussianCopulaPolicy</a></li> </ul>
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<div class="title">GaussianCopulaPolicy Struct Reference</div> </div>
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<p><code>#include <ql/experimental/math/gaussiancopulapolicy.hpp></code></p>
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Public Types</h2></td></tr>
<tr class="memitem:a3f16e8bbc40e0cc318f5c5080ae9223e"><td class="memItemLeft" align="right" valign="top"><a id="a3f16e8bbc40e0cc318f5c5080ae9223e"></a>
typedef int </td><td class="memItemRight" valign="bottom"><b>initTraits</b></td></tr>
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Public Member Functions</h2></td></tr>
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 </td><td class="memItemRight" valign="bottom"><b>GaussianCopulaPolicy</b> (const std::vector< std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > > &factorWeights=std::vector< std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > >(), const initTraits &dummy=int())</td></tr>
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<tr class="memitem:a56abc887c13cbde93385f6875e849541"><td class="memItemLeft" align="right" valign="top"><a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="struct_quant_lib_1_1_gaussian_copula_policy.html#a56abc887c13cbde93385f6875e849541">numFactors</a> () const</td></tr>
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<tr class="memitem:a9024944a08271f688abd95cd78d08510"><td class="memItemLeft" align="right" valign="top"><a id="a9024944a08271f688abd95cd78d08510"></a>
initTraits </td><td class="memItemRight" valign="bottom"><a class="el" href="struct_quant_lib_1_1_gaussian_copula_policy.html#a9024944a08271f688abd95cd78d08510">getInitTraits</a> () const</td></tr>
<tr class="memdesc:a9024944a08271f688abd95cd78d08510"><td class="mdescLeft"> </td><td class="mdescRight">returns a copy of the initialization arguments <br /></td></tr>
<tr class="separator:a9024944a08271f688abd95cd78d08510"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a9d2172a86cee3a6b5e87ef6804283d9a"><td class="memItemLeft" align="right" valign="top"><a class="el" href="group__types.html#gad9817a6a21dfcb91429f0152c99d6313">Probability</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="struct_quant_lib_1_1_gaussian_copula_policy.html#a9d2172a86cee3a6b5e87ef6804283d9a">cumulativeY</a> (<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> val, <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> iVariable) const</td></tr>
<tr class="separator:a9d2172a86cee3a6b5e87ef6804283d9a"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:ac42e8a3a9fe28bd7cbb0144e1fde4e98"><td class="memItemLeft" align="right" valign="top"><a id="ac42e8a3a9fe28bd7cbb0144e1fde4e98"></a>
<a class="el" href="group__types.html#gad9817a6a21dfcb91429f0152c99d6313">Probability</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="struct_quant_lib_1_1_gaussian_copula_policy.html#ac42e8a3a9fe28bd7cbb0144e1fde4e98">cumulativeZ</a> (<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> z) const</td></tr>
<tr class="memdesc:ac42e8a3a9fe28bd7cbb0144e1fde4e98"><td class="mdescLeft"> </td><td class="mdescRight">Cumulative probability of the idiosyncratic factors (all the same) <br /></td></tr>
<tr class="separator:ac42e8a3a9fe28bd7cbb0144e1fde4e98"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a7a6a9e92d606e0b463736794cc2415b8"><td class="memItemLeft" align="right" valign="top"><a class="el" href="group__types.html#gad9817a6a21dfcb91429f0152c99d6313">Probability</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="struct_quant_lib_1_1_gaussian_copula_policy.html#a7a6a9e92d606e0b463736794cc2415b8">density</a> (const std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > &m) const</td></tr>
<tr class="separator:a7a6a9e92d606e0b463736794cc2415b8"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a36e205d1cabb02b58e65e4f1ee08658f"><td class="memItemLeft" align="right" valign="top"><a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="struct_quant_lib_1_1_gaussian_copula_policy.html#a36e205d1cabb02b58e65e4f1ee08658f">inverseCumulativeY</a> (<a class="el" href="group__types.html#gad9817a6a21dfcb91429f0152c99d6313">Probability</a> p, <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> iVariable) const</td></tr>
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<tr class="memitem:acd5b1879390c62bbddd5f61deb20b49e"><td class="memItemLeft" align="right" valign="top"><a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="struct_quant_lib_1_1_gaussian_copula_policy.html#acd5b1879390c62bbddd5f61deb20b49e">inverseCumulativeZ</a> (<a class="el" href="group__types.html#gad9817a6a21dfcb91429f0152c99d6313">Probability</a> p) const</td></tr>
<tr class="separator:acd5b1879390c62bbddd5f61deb20b49e"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a54052fb0c8917e0d63d6d52230e3b59a"><td class="memItemLeft" align="right" valign="top"><a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="struct_quant_lib_1_1_gaussian_copula_policy.html#a54052fb0c8917e0d63d6d52230e3b59a">inverseCumulativeDensity</a> (<a class="el" href="group__types.html#gad9817a6a21dfcb91429f0152c99d6313">Probability</a> p, <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> iFactor) const</td></tr>
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<a class="el" href="class_quant_lib_1_1_disposable.html">Disposable</a>< std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > > </td><td class="memItemRight" valign="bottom"><b>allFactorCumulInverter</b> (const std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > &probs) const</td></tr>
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</table>
<a name="details" id="details"></a><h2 class="groupheader">Detailed Description</h2>
<div class="textblock"><p>Gaussian Latent Model's copula policy. Its simplicity is a result of the convolution stability of the Gaussian distribution. </p>
<dl class="section examples"><dt>Examples</dt><dd><a class="el" href="_basket_losses_8cpp-example.html#_a13">BasketLosses.cpp</a>.</dd>
</dl>
</div><h2 class="groupheader">Member Function Documentation</h2>
<a id="a56abc887c13cbde93385f6875e849541"></a>
<h2 class="memtitle"><span class="permalink"><a href="#a56abc887c13cbde93385f6875e849541">◆ </a></span>numFactors()</h2>
<div class="memitem">
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<tr>
<td class="memname"><a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> numFactors </td>
<td>(</td>
<td class="paramname"></td><td>)</td>
<td> const</td>
</tr>
</table>
</div><div class="memdoc">
<p>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. </p>
</div>
</div>
<a id="a9d2172a86cee3a6b5e87ef6804283d9a"></a>
<h2 class="memtitle"><span class="permalink"><a href="#a9d2172a86cee3a6b5e87ef6804283d9a">◆ </a></span>cumulativeY()</h2>
<div class="memitem">
<div class="memproto">
<table class="memname">
<tr>
<td class="memname"><a class="el" href="group__types.html#gad9817a6a21dfcb91429f0152c99d6313">Probability</a> cumulativeY </td>
<td>(</td>
<td class="paramtype"><a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td>
<td class="paramname"><em>val</em>, </td>
</tr>
<tr>
<td class="paramkey"></td>
<td></td>
<td class="paramtype"><a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> </td>
<td class="paramname"><em>iVariable</em> </td>
</tr>
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<td></td>
<td>)</td>
<td></td><td> const</td>
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</div><div class="memdoc">
<p>Cumulative probability of a given latent variable The iVariable parameter is the index of the requested variable. </p>
</div>
</div>
<a id="a7a6a9e92d606e0b463736794cc2415b8"></a>
<h2 class="memtitle"><span class="permalink"><a href="#a7a6a9e92d606e0b463736794cc2415b8">◆ </a></span>density()</h2>
<div class="memitem">
<div class="memproto">
<table class="memname">
<tr>
<td class="memname"><a class="el" href="group__types.html#gad9817a6a21dfcb91429f0152c99d6313">Probability</a> density </td>
<td>(</td>
<td class="paramtype">const std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > & </td>
<td class="paramname"><em>m</em></td><td>)</td>
<td> const</td>
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<p>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. </p>
</div>
</div>
<a id="a36e205d1cabb02b58e65e4f1ee08658f"></a>
<h2 class="memtitle"><span class="permalink"><a href="#a36e205d1cabb02b58e65e4f1ee08658f">◆ </a></span>inverseCumulativeY()</h2>
<div class="memitem">
<div class="memproto">
<table class="memname">
<tr>
<td class="memname"><a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> inverseCumulativeY </td>
<td>(</td>
<td class="paramtype"><a class="el" href="group__types.html#gad9817a6a21dfcb91429f0152c99d6313">Probability</a> </td>
<td class="paramname"><em>p</em>, </td>
</tr>
<tr>
<td class="paramkey"></td>
<td></td>
<td class="paramtype"><a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> </td>
<td class="paramname"><em>iVariable</em> </td>
</tr>
<tr>
<td></td>
<td>)</td>
<td></td><td> const</td>
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</div><div class="memdoc">
<p>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 </p>
</div>
</div>
<a id="acd5b1879390c62bbddd5f61deb20b49e"></a>
<h2 class="memtitle"><span class="permalink"><a href="#acd5b1879390c62bbddd5f61deb20b49e">◆ </a></span>inverseCumulativeZ()</h2>
<div class="memitem">
<div class="memproto">
<table class="memname">
<tr>
<td class="memname"><a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> inverseCumulativeZ </td>
<td>(</td>
<td class="paramtype"><a class="el" href="group__types.html#gad9817a6a21dfcb91429f0152c99d6313">Probability</a> </td>
<td class="paramname"><em>p</em></td><td>)</td>
<td> const</td>
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<p>Returns the inverse of the cumulative distribution of the idiosyncratic factor (identically distributed for all latent variables) </p>
</div>
</div>
<a id="a54052fb0c8917e0d63d6d52230e3b59a"></a>
<h2 class="memtitle"><span class="permalink"><a href="#a54052fb0c8917e0d63d6d52230e3b59a">◆ </a></span>inverseCumulativeDensity()</h2>
<div class="memitem">
<div class="memproto">
<table class="memname">
<tr>
<td class="memname"><a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> inverseCumulativeDensity </td>
<td>(</td>
<td class="paramtype"><a class="el" href="group__types.html#gad9817a6a21dfcb91429f0152c99d6313">Probability</a> </td>
<td class="paramname"><em>p</em>, </td>
</tr>
<tr>
<td class="paramkey"></td>
<td></td>
<td class="paramtype"><a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> </td>
<td class="paramname"><em>iFactor</em> </td>
</tr>
<tr>
<td></td>
<td>)</td>
<td></td><td> const</td>
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<p>Returns the inverse of the cumulative distribution of the systemic factor iFactor. </p>
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