Examples of org.jquantlib.math.distributions.BivariateNormalDistribution

Package org.jquantlib.math.distributions

Examples of org.jquantlib.math.distributions.BivariateNormalDistribution

org.jquantlib.math.distributions.BivariateNormalDistribution
ath.wsu.edu/faculty/genz/papers/bvnt/bvnt.html">www.math.wsu.edu/faculty/genz/papers/bvnt/bvnt.html)
The standard bivariate normal distribution function is given by \Phi( \bf b}, \rho)= \frac{1}{2 \pi \sqrt{1- \rho^{2}}} \int_{- \infty}^{b_1} \int_{- \infty}^{b_2} e^{-(x^{2}-2 \rho xy +y^{2})/(2(1- \rho^{2}))}dydx }
This implementation mainly differs from the original code in two regards;
1. The implementation of the cumulative normal distribution is {@code CumulativeNormalDistribution}
2. The arrays XX and W are zero-based
@author Richard Gomes

      final double y = 0.0;


      final double tolerance = 1.0e-15;
      for (final double element : rho) {
          for (Integer sgn=-1; sgn < 2; sgn+=2) {
              final BivariateNormalDistribution bvn= new BivariateNormalDistribution(sgn*element);
              final double expected = 0.25 + Math.asin(sgn*element) / (2*Math.PI) ;
              final double realised = bvn.op(x,y);


              if (Math.abs(realised-expected)>=tolerance)
                fail(" bivariate cumulative distribution\n"
                            + "    rho: " + sgn*element + "\n"
                            + "    expected:  " + expected + "\n"

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        final double a = values[i][0];
        final double b = values[i][1];
        final double rho = values[i][2];
        final double result = values[i][3];


          final BivariateNormalDistribution bcd = new BivariateNormalDistribution(rho);
          final double value = bcd.op(a, b);


          final double tolerance = 1.0e-6;
          if (Math.abs(value-result) >= tolerance)
            fail(" bivariate cumulative distribution\n"
                      + "    case: " + i+1 + "\n"

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Related Classes of org.jquantlib.math.distributions.BivariateNormalDistribution

org.jquantlib.math.integrals.TabulatedGaussLegendre

org.jquantlib.testsuite.math.distributions.BivariateNormalDistributionTest

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