bivariateNormal.hpp
Go to the documentation of this file.
1 #ifndef JULIAN_BIVARIATENORMAL_HPP
2 #define JULIAN_BIVARIATENORMAL_HPP
3 
4 
5 namespace julian {
6 
20  public:
21  BivariateNormal(double rho);
22  // function
23  double operator()(double a, double b) const;
24  private:
25  double rho_;
26  double rho2_;
27  static const double x_[];
28  static const double y_[];
29  };
30 }
31 
32 #endif
Class implements Bivariate Normal Random Variable.
Definition: bivariateNormal.hpp:19
Definition: cadHoliday.cpp:3
double rho2_
Squared correlation.
Definition: bivariateNormal.hpp:26
static const double x_[]
Technical tables.
Definition: bivariateNormal.hpp:27
double rho_
Correlation.
Definition: bivariateNormal.hpp:25
BivariateNormal(double rho)
Constructor.
Definition: bivariateNormal.cpp:28
static const double y_[]
Technical tables.
Definition: bivariateNormal.hpp:28
double operator()(double a, double b) const
calculates value of Probability Distribution Function
Definition: bivariateNormal.cpp:33