Class FarlieGumbelMorgensternCopula

Namespace

NanoQL.Numerics

Assembly

NanoQL.dll

The Farlie-Gumbel-Morgenstern copula, C(x, y) = xy + θxy(1 − x)(1 − y).

public sealed class FarlieGumbelMorgensternCopula

Inheritance

object

FarlieGumbelMorgensternCopula

Inherited Members

object.GetType()

object.ToString()

object.Equals(object)

object.Equals(object, object)

object.ReferenceEquals(object, object)

object.GetHashCode()

Remarks

Immutable. On the unit square's edges it returns the boundary values, C(u, 0) = C(0, v) = 0, C(u, 1) = u and C(1, v) = v, before its formula, as every copula here does.

Constructors

FarlieGumbelMorgensternCopula(double)

Initializes a new instance of the FarlieGumbelMorgensternCopula class.

public FarlieGumbelMorgensternCopula(double theta)

Parameters

theta double

The parameter θ, in [−1, 1].

Exceptions

ArgumentException

theta is outside its range.

Methods

Evaluate(double, double)

The copula's value.

public double Evaluate(double x, double y)

Parameters

x double

The first argument, in [0, 1].

y double

The second argument, in [0, 1].

Returns

double

C(x, y).

Exceptions

ArgumentException

x or y is outside [0, 1].