QuantLib_BivariateCumulativeNormalDistributionDr78

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

Tests

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

Author

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Referenced By

BivariateCumulativeNormalDistributionDr78(3) is an alias of QuantLib_BivariateCumulativeNormalDistributionDr78(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib