pbnorm: Bivariate Standard Normal CDF

In QFRM: Pricing of Vanilla and Exotic Option Contracts

Description

Bivariate Standard Normal CDF Calculator For Given Values of x, y, and rho

Usage

pbnorm(x = 0, y = 0, rho = 0)

Arguments

x	The x value (want probability under this value of x); values in (-25, 25)
y	The y value (want probability under this value of y); values in (-25, 25)
rho	The correlation between variables x and y; values in [-1, 1]

Details

This runs a bivariate standard normal pdf then calculates the cdf from that based on the input parameters

Value

Density under the bivariate standard normal distribution

Author(s)

Robert Abramov, Department of Statistics, Rice University, 2015

References

Adapted from "Bivariate normal distribution with R", Edouard Tallent's blog from Sep 21, 2012
https://quantcorner.wordpress.com/2012/09/21/bivariate-normal-distribution-with-r

Examples

pbnorm(1, 1, .5)
#pbnorm(2, 2, 0)
#pbnorm(-1, -1, .35)
#pbnorm(0, 0, 0)

ttl = 'cdf of x, at y=0'
X = seq(-5,5,1)
graphics::plot(X, sapply(X, function(x) pbnorm(0,x,0)), type='l', main=ttl)

Example output

[1] 0.7460845

QFRM documentation built on May 2, 2019, 8:26 a.m.