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 |
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