/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */

/*

 Copyright (C) 2008 Roland Lichters

 This file is part of QuantLib, a free-software/open-source library

 for financial quantitative analysts and developers - http://quantlib.org/

 QuantLib is free software: you can redistribute it and/or modify it

 under the terms of the QuantLib license.  You should have received a

 copy of the license along with this program; if not, please email

 <quantlib-dev@lists.sf.net>. The license is also available online at

 <http://quantlib.org/license.shtml>.

 This program is distributed in the hope that it will be useful, but WITHOUT

 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS

 FOR A PARTICULAR PURPOSE.  See the license for more details.

*/

#include <ql/experimental/credit/onefactorgaussiancopula.hpp>

namespace QuantLib {

    //-----------------------------------------------------------------------

    Real OneFactorGaussianCopula::testCumulativeY (Real y) const {

    //-----------------------------------------------------------------------

        Real c = correlation_->value();

        if (c == 0)

            return CumulativeNormalDistribution()(y);

        if (c == 1)

            return CumulativeNormalDistribution()(y);

        NormalDistribution dz;

        NormalDistribution dm;

        Real minimum = -10;

        Real maximum = +10;

        int steps = 200;

        Real delta = (maximum - minimum) / steps;

        Real cumulated = 0;

        if (c < 0.5) {

            // outer integral -> 1 for c -> 0

            // inner integral -> CumulativeNormal()(y) for c-> 0

            for (Real m = minimum; m < maximum; m += delta)

                for (Real z = minimum; z < (y - std::sqrt(c) * m) / std::sqrt (1. - c);

                     z += delta)

                    cumulated += dm (m) * dz (z);

        }

        else {

            // outer integral -> 1 for c -> 1

            // inner integral -> CumulativeNormal()(y) for c-> 1

            for (Real z = minimum; z < maximum; z += delta)

                for (Real m = minimum; m < (y - std::sqrt(1.0 - c) * z) / std::sqrt(c);

                     m += delta)

                    cumulated += dm (m) * dz (z);

        }

        cumulated *= (delta * delta);

        return cumulated;

    }

}