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Java cumulative standard normal distribution
Hello,I need to compute the Phi = cumulative standard normal distribution in Java. I need for Black-Scholes.Somebody know: what is the forward zero curve? (for rating category)
Last edited by ShKalen on December 19th, 2010, 11:00 pm, edited 1 time in total.
Java cumulative standard normal distribution
The so called Hart method works well for the cumulative normal distribution. I do not know of a version in Java but it should not be difficult to take the VBA version of Cumnorm by Graeme West (for example) and translate it to the language of your choice. Another well known method is Abramovitz and Stegun, also widely implemented, and if I recall correctly printed in the Hull Derivatives book.When asking two questions please post them separately.
Java cumulative standard normal distribution
Here you goSuanShu Java statistics
Last edited by hli7 on May 31st, 2011, 10:00 pm, edited 1 time in total.