Re: [Quantlib-dev] bivariate student cdf?

[Luigi B. <lui...@gm...>]

Thanks, Michal. Do you have any test cases for the function?

Luigi


On Tue, Apr 15, 2014 at 10:06 PM, Michal Kaut <mic...@gm...> wrote:

> 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
>>
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