Class GaussianCopula

Hierarchy

GaussianCopula

Implements

BinaryFunction<Real, Real, Real>

Index

Constructors

constructor

Properties

Methods

f

Constructors

constructor

new GaussianCopula(rho: Real): GaussianCopula

- Defined in ql/math/copulas/gaussiancopula.ts:10
Parameters
- rho: Real
Returns GaussianCopula

Properties

Private _bivariate_normal_cdf

_bivariate_normal_cdf: BivariateCumulativeNormalDistributionWe04DP

Private _invCumNormal

_invCumNormal: InverseCumulativeNormal

Private _rho

_rho: Real

Methods

f

f(x: Real, y: Real): Real

- Defined in ql/math/copulas/gaussiancopula.ts:20
Parameters
- x: Real
- y: Real
Returns Real