1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2014 Michal Kaut
5
6 This file is part of QuantLib, a free-software/open-source library
7 for financial quantitative analysts and developers - http://quantlib.org/
8
9 QuantLib is free software: you can redistribute it and/or modify it
10 under the terms of the QuantLib license. You should have received a
11 copy of the license along with this program; if not, please email
12 <quantlib-dev@lists.sf.net>. The license is also available online at
13 <http://quantlib.org/license.shtml>.
14
15 This program is distributed in the hope that it will be useful, but WITHOUT
16 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
17 FOR A PARTICULAR PURPOSE. See the license for more details.
18*/
19
20/*! \file bivariatestudenttdistribution.hpp
21 \brief Bivariate Student t-distribution
22*/
23
24#ifndef quantlib_bivariate_student_t_distribution_hpp
25#define quantlib_bivariate_student_t_distribution_hpp
26
27#include <ql/errors.hpp>
28#include <ql/types.hpp>
29#include <functional>
30
31namespace QuantLib {
32
33 //! Cumulative Student t-distribution
34 /*! Implemented following the formulas from Dunnett, C.W. and
35 Sobel, M. (1954). A bivariate generalization of Student
36 t-distribution with tables for certain special
37 cases. Biometrika 41, 153–169.
38 */
39 class BivariateCumulativeStudentDistribution {
40 public:
41 /*! \param n degrees of freedom
42 \param rho correlation
43 */
44 BivariateCumulativeStudentDistribution(Natural n,
45 Real rho);
46 Real operator()(Real x, Real y) const;
47 private:
48 Natural n_;
49 Real rho_;
50 };
51
52}
53
54
55#endif
56

source code of quantlib/ql/math/distributions/bivariatestudenttdistribution.hpp