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Public Member Functions | Private Attributes | Static Private Attributes

QuantLib::BivariateCumulativeNormalDistributionDr78 Class Reference

Cumulative bivariate normal distribution function. More...

#include <bivariatenormaldistribution.hpp>

List of all members.

Public Member Functions

 BivariateCumulativeNormalDistributionDr78 (Real rho)
Real operator() (Real a, Real b) const

Private Attributes

Real rho2_
Real rho_
static const Real y_ []

Static Private Attributes

static const Real x_ []

Detailed Description

Cumulative bivariate normal distribution function.

Drezner (1978) algorithm, six decimal places accuracy.

For this implementation see "Option pricing formulas", E.G. Haug, McGraw-Hill 1998

Todo:
check accuracy of this algorithm and compare with: 1) Drezner, Z, (1978), Computation of the bivariate normal integral, Mathematics of Computation 32, pp. 277-279. 2) Drezner, Z. and Wesolowsky, G. O. (1990) `On the Computation of the Bivariate Normal Integral', Journal of Statistical Computation and Simulation 35, pp. 101-107. 3) Drezner, Z (1992) Computation of the Multivariate Normal Integral, ACM Transactions on Mathematics Software 18, pp. 450-460. 4) Drezner, Z (1994) Computation of the Trivariate Normal Integral, Mathematics of Computation 62, pp. 289-294. 5) Genz, A. (1992) `Numerical Computation of the Multivariate Normal Probabilities', J. Comput. Graph. Stat. 1, pp. 141-150.
Test:
the correctness of the returned value is tested by checking it against known good results.

Definition at line 59 of file bivariatenormaldistribution.hpp.


The documentation for this class was generated from the following files:

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