This repository contains the original C++ package to use the AEP algorithm described in the paper
Arbenz, P., Embrechts, P., and G. Puccetti (2011). The AEP algorithm for the fast computation of the distribution of the sum of dependent random variables available at https://doi.org/10.3150/10-BEJ284
The AEP algorithm numerically calculates the distribution function and the Value-at-Risk of the sum of a number of d positive random variables, when the joint distribution H of the vector (X1,...,Xd) is given.
AEP.C is the C++ code for AEP. Note that its not particularly beautiful code, and it will probably be difficult to understand the ideas behind all the pointers and vectors. however, the good thing is that you only have to adapt the dimension (DIM) and the JDF (specify the marginals and copula). note that the copula is required to be analytic.
In the folder executable, one can find the executable files for Linux, Mac and Windows michines. AEP-Df* computes the distribution function, AEP-VaR* the Value-at-Risk
PLEASE READ THE USER GUIDE AVAILABLE IN PDF FORMAT
Notice that a new Python library including an implementation of the AEP algorithm has been provided in https://github.com/gpitt71/gemact-code