QuantLib_BivariateCumulativeNormalDistributionWe04DP (3) - Linux Manuals

QuantLib_BivariateCumulativeNormalDistributionWe04DP: Cumulative bivariate normal distibution function (West 2004).


QuantLib::BivariateCumulativeNormalDistributionWe04DP - Cumulative bivariate normal distibution function (West 2004).


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

Public Member Functions

BivariateCumulativeNormalDistributionWe04DP (Real rho)

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

Detailed Description

Cumulative bivariate normal distibution function (West 2004).

The implementation derives from the article 'Better Approximations To Cumulative Normal Distibutions', Graeme West, Dec 2004 available at www.finmod.co.za. Also available in Wilmott Magazine, 2005, (May), 70-76, The main code is a port of the C++ code at www.finmod.co.za/cumfunctions.zip.

The algorithm is based on the near double-precision algorithm described in 'Numerical Computation of Rectangular Bivariate an Trivariate Normal and t Probabilities', Genz (2004), Statistics and Computing 14, 151-160. (available at www.sci.wsu.edu/math/faculty/henz/homepage)

The QuantLib implementation mainly differs from the original code in two regards;

The implementation of the cumulative normal distribution is QuantLib::CumulativeNormalDistribution
The arrays XX and W are zero-based


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


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