# 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

 `1` ```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

 ```1 2 3 4 5 6 7 8``` ```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 ``` 0.7460845
```

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