Cumulative bivariate normal distribution function. More...

#include <bivariatenormaldistribution.hpp>

Collaboration diagram for BivariateCumulativeNormalDistributionDr78:

Public Member Functions
	BivariateCumulativeNormalDistributionDr78 (Real rho)

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

Private Attributes
Real	rho_

Real	rho2_

Static Private Attributes
static const Real	x_ []

static const Real	y_ []

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

Tests:: the correctness of the returned value is tested by checking it against known good results.

Definition at line 59 of file bivariatenormaldistribution.hpp.

Constructor & Destructor Documentation

◆ BivariateCumulativeNormalDistributionDr78()

BivariateCumulativeNormalDistributionDr78 ( Real rho )

Definition at line 46 of file bivariatenormaldistribution.cpp.

Member Function Documentation

◆ operator()()

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

Definition at line 56 of file bivariatenormaldistribution.cpp.

Member Data Documentation

◆ rho_

Real rho_

private

Definition at line 65 of file bivariatenormaldistribution.hpp.

◆ rho2_

Real rho2_

private

Definition at line 65 of file bivariatenormaldistribution.hpp.

◆ x_

const Real x_

staticprivate

Initial value:

= {
        0.24840615,
        0.39233107,
        0.21141819,
        0.03324666,
        0.00082485334
    }

Definition at line 66 of file bivariatenormaldistribution.hpp.

◆ y_

const Real y_