| 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 | #include <ql/math/copulas/farliegumbelmorgensterncopula.hpp> |
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| 21 | #include <ql/errors.hpp> |
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| 22 | |
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| 23 | namespace QuantLib { |
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| 24 | |
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| 25 | FarlieGumbelMorgensternCopula::FarlieGumbelMorgensternCopula(Real theta): theta_(theta) |
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| 26 | { |
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| 27 | QL_REQUIRE(theta >= -1.0 && theta <= 1.00, |
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| 28 | "theta (" << theta << ") must be in [-1,1]" ); |
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| 29 | } |
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| 30 | |
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| 31 | Real FarlieGumbelMorgensternCopula::operator()(Real x, Real y) const |
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| 32 | { |
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| 33 | QL_REQUIRE(x >= 0.0 && x <=1.0 , |
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| 34 | "1st argument (" << x << ") must be in [0,1]" ); |
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| 35 | QL_REQUIRE(y >= 0.0 && y <=1.0 , |
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| 36 | "2nd argument (" << y << ") must be in [0,1]" ); |
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| 37 | return x*y + theta_*x*y*(1.0 - x)*(1.0 - y); |
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| 38 | } |
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| 39 | |
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| 40 | } |
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| 41 | |
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