The function "mvndst" doesn't exist anymore in scipy.stats.

[marcovth]

Hello ...

Unfortunately, the function "mvndst" doesn't exist anymore in scipy.stats. It seems, scipy relied on a Fortran module, and they had to remove it.

Do you think you could help me to find a replacement?

Thanks a lot.

# Cumulative Bivariate Normal Distribution
# Primarily called by Psi() function, part of the _Bjerksund_Stensland_2002 model
def _cbnd(a, b, rho):
    # This distribution uses the Genz multi-variate normal distribution 
    # code found as part of the standard SciPy distribution
    lower = np.array([0, 0])
    upper = np.array([a, b])
    infin = np.array([0, 0])
    correl = rho
    error, value, inform = mvn.mvndst(lower, upper, infin, correl)
    return value

[dedwards25]

I will start looking into a replacement. Davis EdwardsOn May 12, 2025, at 12:16 PM, marcovth @.***> wrote: marcovth created an issue (dedwards25/Python_Option_Pricing#7) Hello ... Unfortunately, the function "mvndst" doesn't exist anymore in scipy.stats. It seems, scipy relied on a Fortran module, and they had to remove it. Do you think you could help me to find a replacement? Thanks a lot.

Cumulative Bivariate Normal Distribution

Primarily called by Psi() function, part of the _Bjerksund_Stensland_2002 model

def _cbnd(a, b, rho): # This distribution uses the Genz multi-variate normal distribution # code found as part of the standard SciPy distribution lower = np.array([0, 0]) upper = np.array([a, b]) infin = np.array([0, 0]) correl = rho error, value, inform = mvn.mvndst(lower, upper, infin, correl) return value

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[marcovth]

I found the solution already ...

import scipy.stats

# Cumulative Bivariate Normal Distribution
def cbnd(a, b, rho):
    lower = np.array([0, 0])
    upper = np.array([a, b])
    infin = np.array([0, 0])
    correl = rho
    error, value, inform = scipy.stats._mvn.mvndst(lower, upper, infin, correl)
    return value

[dedwards25]

I have created a python version of the FORTRAN function previously embedded in the mvn library. The new code is in the file name "2025".

[marcovth]

Thank you very much. I will generate some curves tomorrow.