QuantLib: a free/open-source library for quantitative finance
Fully annotated sources - version 1.32
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Cumulative bivariate normal distibution function (West 2004) More...
#include <ql/math/distributions/bivariatenormaldistribution.hpp>
Public Member Functions | |
BivariateCumulativeNormalDistributionWe04DP (Real rho) | |
Real | operator() (Real a, Real b) const |
Private Attributes | |
Real | correlation_ |
CumulativeNormalDistribution | cumnorm_ |
Cumulative bivariate normal distibution function (West 2004)
The implementation derives from the article "Better Approximations To Cumulative Normal Distibutions", Graeme West, Dec 2004 available at www.finmod.co.za. Also available in Wilmott Magazine, 2005, (May), 70-76, The main code is a port of the C++ code at www.finmod.co.za/cumfunctions.zip.
The algorithm is based on the near double-precision algorithm described in "Numerical Computation of Rectangular Bivariate an Trivariate Normal and t Probabilities", Genz (2004), Statistics and Computing 14, 151-160. (available at www.sci.wsu.edu/math/faculty/henz/homepage)
The QuantLib implementation mainly differs from the original code in two regards;
The arrays XX and W are zero-based
Definition at line 92 of file bivariatenormaldistribution.hpp.
Definition at line 154 of file bivariatenormaldistribution.cpp.
Definition at line 165 of file bivariatenormaldistribution.cpp.
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Definition at line 98 of file bivariatenormaldistribution.hpp.
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Definition at line 99 of file bivariatenormaldistribution.hpp.