[Quantlib-dev] [ quantlib-Patches-2909358 ] Copula random number generators

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Patches item #2909358, was opened at 2009-12-05 18:18
Message generated for change (Comment added) made by hachemidxp
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Category: None
Group: None
Status: Open
Resolution: None
Priority: 5
Private: No
Submitted By: Hachemi Benyahia (hachemidxp)
Assigned to: Nobody/Anonymous (nobody)
Summary: Copula random number generators

Initial Comment:
These copula random number generators are based on the conditional sampling algorithm.


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Comment By: Hachemi Benyahia (hachemidxp)
Date: 2010-03-11 13:06

Message:
Hi,

In the case of this implementation I have used three analytic results
presented in Copula Modeling: An introduction to Practitioners (P.K Trivedi
and D.M. Zimmer) page 109.
Unfortunately with this approach it is not possible to tu use the
functions in ql/math/copulas.



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Comment By: Luigi Ballabio (lballabio)
Date: 2010-03-09 09:37

Message:
Would it be possible to implement them using the functions in
ql/math/copulas instead of rewriting the formulas?

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