From: Michal K. <mic...@gm...> - 2014-04-15 20:07:09
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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" <mic...@gm... > <mailto:mic...@gm...>> 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 > > ------------------------------------------------------------------------------ > Learn Graph Databases - Download FREE O'Reilly Book > "Graph Databases" is the definitive new guide to graph databases and > their > applications. Written by three acclaimed leaders in the field, > this first edition is now available. Download your free book today! > http://p.sf.net/sfu/NeoTech > _______________________________________________ > QuantLib-dev mailing list > Qua...@li... > <mailto:Qua...@li...> > https://lists.sourceforge.net/lists/listinfo/quantlib-dev > |