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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2010 Hachemi Benyahia
Copyright (C) 2010 DeriveXperts SAS
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/plackettcopula.hpp>
#include <ql/errors.hpp>
namespace QuantLib {
PlackettCopula::PlackettCopula(Real theta) : theta_(theta)
{
QL_REQUIRE(theta >= 0.0,
"theta (" << theta << ") must be greater or equal to 0");
QL_REQUIRE(theta != 1.0,
"theta (" << theta << ") must be different from 1");
}
Real PlackettCopula::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 ((1.0+(theta_-1.0)*(x+y))-sqrt(std::pow(1.0+(theta_-1.0)*(x+y),2.0)-4.0*x*y*theta_*(theta_-1.0)))/(2.0*(theta_-1.0));
}
}
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