QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.6
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BivariateCumulativeStudentDistribution Class Reference

Cumulative Student t-distribution. More...

#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

Parameters
ndegrees of freedom
rhocorrelation