CdfOfSumUsingProductCopula: Derives prob ( X + Y < quantile) using Product copula
Description
If X and Y are position P/Ls, then the VaR is equal to minus quantile. In
such cases, we insert the negative of the VaR as the quantile, and the
function gives us the value of 1 minus VaR confidence level. In other
words, if X and Y are position P/Ls, the quantile is the negative of the
VaR, and the output is 1 minus the VaR confidence level.
# Prob ( X + Y < q ) using Product Copula for X with mean 2.3 and std. .2# and Y with mean 4.5 and std. 1.5 with beta 1.2 at 0.9 quantile CdfOfSumUsingProductCopula(0.9, 2.3, 4.5, 1.2, 1.5)