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
|
/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2008 Marek Glowacki
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/math/copulas/claytoncopula.hpp>
#include <ql/errors.hpp>
#include <algorithm>
using std::max;
using std::pow;
namespace QuantLib {
ClaytonCopula::ClaytonCopula(Real theta): theta_(theta)
{
QL_REQUIRE(theta >= -1.0,
"theta (" << theta << ") must be greater or equal to -1");
QL_REQUIRE(theta != 0.0,
"theta (" << theta << ") must be different from 0");
}
Real ClaytonCopula::operator()(Real x, Real y) const
{
QL_REQUIRE(x >= 0.0 && x <=1.0 ,
"1st argument (" << x << ") must be in [0,1]");
QL_REQUIRE(y >= 0.0 && y <=1.0 ,
"2nd argument (" << y << ") must be in [0,1]");
using namespace std;
return max( pow( pow(x,-theta_)+pow(y,-theta_)-1.0 , -1.0/theta_) , 0.0);
}
}
|
