BivariateCumulativeStudentDistribution — Cumulative Student t-distribution.  


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

Public Member Functions

BivariateCumulativeStudentDistribution (Natural n, Real rho)
Real operator() (Real x, Real y) const

Detailed Description

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.

Constructor & Destructor Documentation

BivariateCumulativeStudentDistribution (Natural n, Real rho)


n degrees of freedom
rho correlation


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Referenced By

The man page BivariateCumulativeStudentDistribution(3) is an alias of QuantLib_BivariateCumulativeStudentDistribution(3).

Mon Apr 30 2018 Version 1.12.1 QuantLib