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Evaluting bivariate norm. distribution function
Posted: June 22nd, 2007, 2:57 am
by harinme
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 ...........
Evaluting bivariate norm. distribution function
Posted: June 22nd, 2007, 5:05 am
by LordR
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.
Evaluting bivariate norm. distribution function
Posted: June 22nd, 2007, 6:10 am
by spursfan
alan genz
Evaluting bivariate norm. distribution function
Posted: June 22nd, 2007, 1:00 pm
by mikeoz
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
Evaluting bivariate norm. distribution function
Posted: June 22nd, 2007, 7:25 pm
by AVt
I think Graeme West has code in both VB(A) and C at his page, translates from Alan Genz
Evaluting bivariate norm. distribution function
Posted: June 22nd, 2007, 8:44 pm
by harinme
Thanx a lot I have got it from vbanumericalmethods and alan's code ........cheers
Evaluting bivariate norm. distribution function
Posted: June 26th, 2007, 7:28 am
by newbanker
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?