Safe Haskell	Safe-Inferred
Language	Haskell2010

QuantLib.Math.Copulas

Synopsis

class Copula a where
- copula :: a -> Double -> Double -> Maybe Double
- copulaFunc :: a -> Double -> Double -> Maybe Double
data Copulas
- = ClaytonCopula Double
- | MinCopula
- | MaxCopula
- | AliMikhailHaqCopula Double
- | FarlieGumbelMorgensternCopula Double
- | FrankCopula Double
- | GalambosCopula Double
- | GaussianCopula Double
- | GumbelCopula Double
- | HuslerReissCopula Double
- | IndependentCopula
- | MarshallOlkinCopula Double Double
- | PlackettCopula Double

Documentation

class Copula a where Source #

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 Source #

copulaFunc :: a -> Double -> Double -> Maybe Double Source #

Instances

Instances details

Copula Copulas Source #
Instance details Defined in QuantLib.Math.Copulas Methods copula :: Copulas -> Double -> Double -> Maybe Double Source # copulaFunc :: Copulas -> Double -> Double -> Maybe Double Source #

data Copulas Source #

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

Instances details

Copula Copulas Source #
Instance details Defined in QuantLib.Math.Copulas Methods copula :: Copulas -> Double -> Double -> Maybe Double Source # copulaFunc :: Copulas -> Double -> Double -> Maybe Double Source #