/usr/include/ql/math/distributions/bivariatestudenttdistribution.hpp is in libquantlib0-dev 1.9.1-1.
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1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2014 Michal Kaut
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
<quantlib-dev@lists.sf.net>. The license is also available online at
<http://quantlib.org/license.shtml>.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
/*! \file bivariatestudenttdistribution.hpp
\brief Bivariate Student t-distribution
*/
#ifndef quantlib_bivariate_student_t_distribution_hpp
#define quantlib_bivariate_student_t_distribution_hpp
#include <ql/errors.hpp>
#include <ql/types.hpp>
#include <functional>
namespace QuantLib {
//! Cumulative Student t-distribution
/*! Implemented following the formulas from Dunnett, C.W. and
Sobel, M. (1954). A bivariate generalization of Student
t-distribution with tables for certain special
cases. Biometrika 41, 153–169.
*/
class BivariateCumulativeStudentDistribution {
public:
/*! \param n degrees of freedom
\param rho correlation
*/
BivariateCumulativeStudentDistribution(Natural n,
Real rho);
Real operator()(Real x, Real y) const;
private:
Natural n_;
Real rho_;
};
}
#endif
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