| 1 | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */ |
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| 2 | |
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| 3 | /* |
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| 4 | Copyright (C) 2008 Marek Glowacki |
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| 5 | |
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| 6 | This file is part of QuantLib, a free-software/open-source library |
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| 7 | for financial quantitative analysts and developers - http://quantlib.org/ |
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| 8 | |
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| 9 | QuantLib is free software: you can redistribute it and/or modify it |
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| 10 | under the terms of the QuantLib license. You should have received a |
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| 11 | copy of the license along with this program; if not, please email |
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| 12 | <quantlib-dev@lists.sf.net>. The license is also available online at |
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| 13 | <http://quantlib.org/license.shtml>. |
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| 14 | |
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| 15 | This program is distributed in the hope that it will be useful, but WITHOUT |
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| 16 | ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS |
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| 17 | FOR A PARTICULAR PURPOSE. See the license for more details. |
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| 18 | */ |
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| 19 | |
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| 20 | /*! \file claytoncopula.hpp |
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| 21 | \brief Clayton copula |
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| 22 | */ |
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| 23 | |
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| 24 | #ifndef quantlib_math_Clayton_copula_h |
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| 25 | #define quantlib_math_Clayton_copula_h |
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| 26 | |
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| 27 | #include <ql/types.hpp> |
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| 28 | #include <functional> |
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| 29 | |
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| 30 | namespace QuantLib { |
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| 31 | |
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| 32 | //! Clayton copula |
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| 33 | class ClaytonCopula { |
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| 34 | public: |
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| 35 | /*! \deprecated Use `auto` or `decltype` instead. |
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| 36 | Deprecated in version 1.29. |
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| 37 | */ |
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| 38 | QL_DEPRECATED |
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| 39 | typedef Real first_argument_type; |
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| 40 | |
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| 41 | /*! \deprecated Use `auto` or `decltype` instead. |
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| 42 | Deprecated in version 1.29. |
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| 43 | */ |
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| 44 | QL_DEPRECATED |
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| 45 | typedef Real second_argument_type; |
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| 46 | |
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| 47 | /*! \deprecated Use `auto` or `decltype` instead. |
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| 48 | Deprecated in version 1.29. |
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| 49 | */ |
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| 50 | QL_DEPRECATED |
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| 51 | typedef Real result_type; |
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| 52 | |
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| 53 | ClaytonCopula(Real theta); |
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| 54 | Real operator()(Real x, Real y) const; |
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| 55 | private: |
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| 56 | Real theta_; |
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| 57 | }; |
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| 58 | |
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| 59 | } |
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| 60 | |
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| 61 | #endif |
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| 62 | |
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