1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2010 Hachemi Benyahia
5 Copyright (C) 2010 DeriveXperts SAS
6
7 This file is part of QuantLib, a free-software/open-source library
8 for financial quantitative analysts and developers - http://quantlib.org/
9
10 QuantLib is free software: you can redistribute it and/or modify it
11 under the terms of the QuantLib license. You should have received a
12 copy of the license along with this program; if not, please email
13 <quantlib-dev@lists.sf.net>. The license is also available online at
14 <http://quantlib.org/license.shtml>.
15
16 This program is distributed in the hope that it will be useful, but WITHOUT
17 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
18 FOR A PARTICULAR PURPOSE. See the license for more details.
19*/
20
21#include <ql/math/copulas/huslerreisscopula.hpp>
22#include <ql/errors.hpp>
23
24namespace QuantLib {
25
26 HuslerReissCopula::HuslerReissCopula(Real theta)
27 : theta_(theta)
28 {
29 QL_REQUIRE(theta >= 0.0,
30 "theta (" << theta << ") must be greater or equal to 0");
31 }
32
33 Real HuslerReissCopula::operator()(Real x, Real y) const
34 {
35 QL_REQUIRE(x >= 0.0 && x <=1.0 ,
36 "1st argument (" << x << ") must be in [0,1]");
37 QL_REQUIRE(y >= 0.0 && y <=1.0 ,
38 "2nd argument (" << y << ") must be in [0,1]");
39 using namespace std;
40 return pow(x: x,y: cumNormal_(1.0/theta_+0.5*theta_*log(x: -log(x: x)/-log(x: y))))*pow(x: y,y: cumNormal_(1.0/theta_+0.5*theta_*log(x: -log(x: y)/-log(x: x))));
41 }
42
43}
44

source code of quantlib/ql/math/copulas/huslerreisscopula.cpp