bivariatenormaldistribution.hpp

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2003 Ferdinando Ametrano
 Copyright (C) 2005 Gary Kennedy
 
 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.
*/
 
#ifndef quantlib_bivariatenormal_distribution_hpp
#define quantlib_bivariatenormal_distribution_hpp
 
#include <ql/math/distributions/normaldistribution.hpp>
 
namespace QuantLib {
 
 
    class BivariateCumulativeNormalDistributionDr78 {
      public:
        BivariateCumulativeNormalDistributionDr78(Real rho);
        // function
        Real operator()(Real a, Real b) const;
      private:
        Real rho_, rho2_;
        static const Real x_[], y_[];
    };
 
 
 
    class BivariateCumulativeNormalDistributionWe04DP {
      public:
        BivariateCumulativeNormalDistributionWe04DP(Real rho);
        // function
        Real operator()(Real a, Real b) const;
      private:
        Real correlation_;
        CumulativeNormalDistribution cumnorm_;
    };
 
    typedef BivariateCumulativeNormalDistributionWe04DP
                                        BivariateCumulativeNormalDistribution;
 
}
 
 
#endif