bivariatestudenttdistribution.hpp

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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2014 Michal Kaut
 
 This file is part of QuantLib, a free-software/open-source library
 for financial quantitative analysts and developers - http://quantlib.org/
 
 QuantLib is free software: you can redistribute it and/or modify it
 under the terms of the QuantLib license.  You should have received a
 copy of the license along with this program; if not, please email
 <quantlib-dev@lists.sf.net>. The license is also available online at
 <http://quantlib.org/license.shtml>.
 
 This program is distributed in the hope that it will be useful, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
 FOR A PARTICULAR PURPOSE.  See the license for more details.
*/
 
/*! \file bivariatestudenttdistribution.hpp
    \brief Bivariate Student t-distribution
*/
 
#ifndef quantlib_bivariate_student_t_distribution_hpp
#define quantlib_bivariate_student_t_distribution_hpp
 
#include <ql/errors.hpp>
#include <ql/types.hpp>
#include <functional>
 
namespace QuantLib {
 
    //! Cumulative Student t-distribution
    /*! Implemented following the formulas from Dunnett, C.W. and
        Sobel, M. (1954). A bivariate generalization of Student
        t-distribution with tables for certain special
        cases. Biometrika 41, 153–169.
    */
    class BivariateCumulativeStudentDistribution {
      public:
        /*! \param n    degrees of freedom
            \param rho  correlation
        */
        BivariateCumulativeStudentDistribution(Natural n,
                                               Real rho);
        Real operator()(Real x, Real y) const;
      private:
        Natural n_;
        Real rho_;
    };
 
}
 
 
#endif