QuantLib_BivariateCumulativeStudentDistribution

BivariateCumulativeStudentDistribution — Cumulative Student t-distribution.

Synopsis

#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)

Parameters:

n degrees of freedom
rho correlation

Author

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Referenced By

BivariateCumulativeStudentDistribution(3) is an alias of QuantLib_BivariateCumulativeStudentDistribution(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib