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

/*

 Copyright (C) 2008 Marek Glowacki

 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

 <https://www.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/math/copulas/frankcopula.hpp>

#include <ql/errors.hpp>

namespace QuantLib {

    FrankCopula::FrankCopula(Real theta): theta_(theta)

    {

        QL_REQUIRE(theta != 0.0,

                   "theta (" << theta << ") must be different from 0");

    }

    Real FrankCopula::operator()(Real x, Real y) const 

    {

        QL_REQUIRE(x >= 0.0 && x <=1.0 ,

                   "1st argument (" << x << ") must be in [0,1]");

        QL_REQUIRE(y >= 0.0 && y <=1.0 ,

                   "2nd argument (" << y << ") must be in [0,1]");

        using namespace std;

        return -1.0/theta_  *  log(1 + (exp(-theta_*x) -1) * (exp(-theta_*y) -1) / (exp(-theta_)- 1)   );

    }

}