1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
|
/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2008 Roland Lichters
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
<quantlib-dev@lists.sf.net>. The license is also available online at
<http://quantlib.org/license.shtml>.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
#include <ql/experimental/credit/onefactorgaussiancopula.hpp>
namespace QuantLib {
//-----------------------------------------------------------------------
Real OneFactorGaussianCopula::testCumulativeY (Real y) const {
//-----------------------------------------------------------------------
Real c = correlation_->value();
if (c == 0)
return CumulativeNormalDistribution()(y);
if (c == 1)
return CumulativeNormalDistribution()(y);
NormalDistribution dz;
NormalDistribution dm;
Real minimum = -10;
Real maximum = +10;
int steps = 200;
Real delta = (maximum - minimum) / steps;
Real cumulated = 0;
if (c < 0.5) {
// outer integral -> 1 for c -> 0
// inner integral -> CumulativeNormal()(y) for c-> 0
for (Real m = minimum; m < maximum; m += delta)
for (Real z = minimum; z < (y - std::sqrt(c) * m) / std::sqrt (1. - c);
z += delta)
cumulated += dm (m) * dz (z);
}
else {
// outer integral -> 1 for c -> 1
// inner integral -> CumulativeNormal()(y) for c-> 1
for (Real z = minimum; z < maximum; z += delta)
for (Real m = minimum; m < (y - std::sqrt(1.0 - c) * z) / std::sqrt(c);
m += delta)
cumulated += dm (m) * dz (z);
}
cumulated *= (delta * delta);
return cumulated;
}
}
|
