QuantLib.Math.Copulas

Documentation

class Copula a where

Copula type class. -| Normally instance should implement only copulaFunc. -| Method copula provides a precheck for [0..1] range for x and y but real implementation is in copulaFunc

Minimal complete definition

copulaFunc

Methods

copula :: a -> Double -> Double -> Maybe Double

copulaFunc :: a -> Double -> Double -> Maybe Double

Instances

Copula Copulas

Methods

copula :: Copulas -> Double -> Double -> Maybe Double

copulaFunc :: Copulas -> Double -> Double -> Maybe Double

data Copulas

Copula data types with parameters required by the concrete copula definition

Constructors

ClaytonCopula Double

Clayton copula

MinCopula

Min copula

MaxCopula

Max copula

AliMikhailHaqCopula Double

Ali-Mikhail-Haq copula

FarlieGumbelMorgensternCopula Double

Farlie-Gumbel-Morgenstern copula

FrankCopula Double

Frank copula

GalambosCopula Double

Galambos copula

GaussianCopula Double

Gaussian copula Not implemented yet!

GumbelCopula Double

Gumbel copula

HuslerReissCopula Double

Husler-Reiss copula Not implemented yet!

IndependentCopula

Independent copula

MarshallOlkinCopula Double Double

Marshall-Olkin copula

PlackettCopula Double

Plackett copula

Instances

Copula Copulas

Methods

copula :: Copulas -> Double -> Double -> Maybe Double

copulaFunc :: Copulas -> Double -> Double -> Maybe Double