BivariateCumulativeNormalDistributionDr78 (3) - Linux Manuals

BivariateCumulativeNormalDistributionDr78: Cumulative bivariate normal distribution function.

NAME

QuantLib::BivariateCumulativeNormalDistributionDr78 - Cumulative bivariate normal distribution function.

SYNOPSIS

#include <ql/math/distributions/bivariatenormaldistribution.hpp>

Public Member Functions

BivariateCumulativeNormalDistributionDr78 (Real rho)

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

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

Possible enhancements

check accuracy of this algorithm and compare with: 1) Drezner, Z, (1978), Computation of the bivariate normal integral, Mathematics of Computation 32, pp. 277-279. 2) Drezner, Z. and Wesolowsky, G. O. (1990) `On the Computation of the Bivariate Normal Integral', Journal of Statistical Computation and Simulation 35, pp. 101-107. 3) Drezner, Z (1992) Computation of the Multivariate Normal Integral, ACM Transactions on Mathematics Software 18, pp. 450-460. 4) Drezner, Z (1994) Computation of the Trivariate Normal Integral, Mathematics of Computation 62, pp. 289-294. 5) Genz, A. (1992) `Numerical Computation of the Multivariate Normal Probabilities', J. Comput. Graph. Stat. 1, pp. 141-150.

Tests

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

Author

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