copulas library proposal

[Marek2]

Copulas might be useful as a part of math library and for some models
I attached proposal for:
ql/math/copulas/farliegumbelmorgensterncopula
ql/math/copulas/frankcopula
ql/math/copulas/gaussiancopula
ql/math/copulas/gumbelcopula
ql/math/copulas/independentcopula
ql/math/copulas/marshallolkincopula
ql/math/copulas/maxcopula
ql/math/copulas/mincopula

M.Glowacki
[hidden email]

p.s. Sorry for inconveniance, If I put this in wrong place, I'm quite new
to sourceforge and quantlib.
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[Luigi Ballabio]

On Tue, 2008-04-29 at 21:50 +0200, Marek Glowacki wrote:

> Copulas might be useful as a part of math library and for some models
> I attached proposal for:
> ql/math/copulas/farliegumbelmorgensterncopula
> ql/math/copulas/frankcopula
> ql/math/copulas/gaussiancopula
> ql/math/copulas/gumbelcopula
> ql/math/copulas/independentcopula
> ql/math/copulas/marshallolkincopula
> ql/math/copulas/maxcopula
> ql/math/copulas/mincopula

Marek,
        thanks for the contribution. I'm not sure that I'll have time to put it
in next release (I've already quite a few contribution to work on) but I
think it'll go into QuantLib eventually.

Later,
        Luigi


--

All generalizations are dangerous, even this one.
-- Alexandre Dumas



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[Ferdinando M. Ametrano-3]

Hi Marek

> Copulas might be useful as a part of math library and for some models
>  I attached proposal for:
>  ql/math/copulas/[...]

thanks for the contribution, I've just added it in the trunk code base.
I've pruned redundant inclusions, move inclusion to cpp file when
possible, expanded error messages to be more informative, and avoided
instantiating objects in the GaussianCopula::operator() method since
they could be instantiated once for all in the constructor.

It would be nice if you would contribute a unit test which reproduces
known tabulated values. This way I could have checked that I didn't
introduce any error ;-)

One question: you contributed bidimensional copulas. Is there an
efficient standard approach how to generalize to arbitrary dimensions?

>  Sorry for inconveniance, If I put this in wrong place, I'm quite new
>  to sourceforge and quantlib.
using the quantlib-dev mailing list would have been better, but I am
aware that the line between users and developers is blurred when it
comes to a C++ library.
You might want to reply only to the quantlib-dev address for further
discussions in this thread.

Thank you again

ciao -- Nando

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