py_vollib.helpers.distributions

A library for option pricing, implied volatility, and greek calculation. py_vollib is based on lets_be_rational, a Python wrapper for LetsBeRational by Peter Jaeckel as described below.

copyright:

© 2023 Larry Richards

license:

MIT, see LICENSE for more details.

About LetsBeRational:

The source code of LetsBeRational resides at www.jaeckel.org/LetsBeRational.7z .

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Copyright © 2013-2014 Peter Jäckel.

Permission to use, copy, modify, and distribute this software is freely granted,
provided that this notice is preserved.

WARRANTY DISCLAIMER
The Software is provided "as is" without warranty of any kind, either express or implied,
including without limitation any implied warranties of condition, uninterrupted use,
merchantability, fitness for a particular purpose, or non-infringement.
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Module Contents

Functions

CND(x)
CBND(x, y, rho)	A function for computing bivariate normal probabilities.

CND(x)

CBND(x, y, rho)

A function for computing bivariate normal probabilities.

Alan Genz
Department of Mathematics
Washington State University
Pullman, WA 99164-3113
Email : alangenz@wsu.edu

This function is based on the method described by

Drezner, Z and G.O. Wesolowsky, (1990),
On the computation of the bivariate normal integral,
Journal of Statist. Comput. Simul. 35, pp. 101-107,

with major modifications for double precision, and for |R| close to 1. This code was originally translated into VBA by Graeme West