Hi Dale,
Most excellent follow-up -- thanks for that.
On 30 January 2014 at 16:40, Smith, Dale (Norcross) wrote:
| QuantLib has a modification due to Graeme West of Allen Genz's algorithm from
pmvnorm. You may be able to call that code in your project by linking with it.
Genz also has Fortran
QuantLib has a modification due to Graeme West of Allen Genz's algorithm from
pmvnorm. You may be able to call that code in your project by linking with it.
Genz also has Fortran code on his web site. Perhaps that would be useful as
well.
I think it's easy enough to read the 2004 paper and writ
