QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.20
Public Member Functions | List of all members
BivariateCumulativeNormalDistributionDr78 Class Reference

Cumulative bivariate normal distribution function. More...

#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.