Re: bivariate student cdf?

Posted by Michal Kaut on Apr 15, 2014; 8:06pm
URL: http://quantlib.414.s1.nabble.com/bivariate-student-cdf-tp15157p15160.html

Dear Luigi,

please find the code attached.
(I have only limited experience with GitHub and, moreover, the code
needs some QuantLib-ization before it can be added to the library..)

I have also included a short note with a link to the original paper and
explaining some details of the implementation.

By the way, here is the link with the only other implementation of the
bivariate student cdf, which I used for
checking:http://www.math.wsu.edu/math/faculty/genz/software/software.html.
(They are based on the same paper, but the codes are GPL.)

I hope you find the code useful.

Michal


On 15/04/14 21:40, Luigi Ballabio wrote:

> Hello,
>      if you have use for it, then we probably have, too.  :)
> You can either post the code here, or (if you're familiar with GitHub)
> send me a pull request.
>
> Luigi
>
> On Apr 15, 2014 9:34 PM, "Michal Kaut" <[hidden email]
> <mailto:[hidden email]>> wrote:
>
>     Hello,
>
>     I am wandering whether you (the QuantLib team) would be interested in a
>     code for bivariate student cdf?
>     I needed it for my code and since I did not find any implementation with
>     a suitable license, I have implemented it myself.
>     I did it in my free time, using formulas from a published paper (from
>     1954), so I have all rights to the code.
>     I checked the code against another library (in Matlab) and it gives the
>     same results.
>
>     At the moment, the code uses standard C/C++ types (double etc), but it
>     should not be a big problem to QuantLib-tify it.
>
>     My question is, do you have use for this (bivariate Student cdf) in
>     QuanLib? And if yes, what is the next step? (I have to admit I have very
>     little experience in contributing code to projects.)
>
>
>     Regards,
>     Michal
>
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