Evaluting bivariate norm. distribution function

harinme · June 22nd, 2007, 2:57 am

Hai,I want to calulate N(x ,y,rho) where N denotes bivariate normal distribution func. .......can someone guide me to an online calculator or some code in matlab ...........thanx in advance ...........

LordR · June 22nd, 2007, 5:05 am

Have you tried google?I know it gives lots of answers, but if you cut it down to a search on"bivariate normal distribution function finance" you'll find what you want.

spursfan · June 22nd, 2007, 6:10 am

alan genz

mikeoz · June 22nd, 2007, 1:00 pm

If you have the Statistics toolbox in Matlab you can use mvncdf. For VBA you can get code from http://www.vbnumericalmethods.com/math/. Or you can read Hull and code it yourself

AVt · June 22nd, 2007, 7:25 pm

I think Graeme West has code in both VB(A) and C at his page, translates from Alan Genz

harinme · June 22nd, 2007, 8:44 pm

Thanx a lot I have got it from vbanumericalmethods and alan's code ........cheers

newbanker · June 26th, 2007, 7:28 am

With such a prolification of free code out there on one hand, and a growing community inneed of VB, MATLAB, MATHEMATICA, C/C++ coded algorithms for real quant work, I oftenwonder who ever tests all that code. I would never rely on un-tested code forreal-world applications. As for school work -- I'd probably learn to code the stuff myself;after all, what is school for anyway?