20#include <ql/math/copulas/gaussiancopula.hpp>
25 : rho_(rho), bivariate_normal_cdf_(rho_)
27 QL_REQUIRE(rho>=-1.0 && rho<= 1.00,
28 "rho (" << rho <<
") must be in [-1,1]");
33 QL_REQUIRE(x >= 0.0 && x <=1.0 ,
34 "1st argument (" << x <<
") must be in [0,1]");
35 QL_REQUIRE(y >= 0.0 && y <=1.0 ,
36 "2nd argument (" << y <<
") must be in [0,1]");
Real operator()(Real x, Real y) const
InverseCumulativeNormal invCumNormal_
BivariateCumulativeNormalDistributionWe04DP bivariate_normal_cdf_