TOMS462, a C++ code which evaluates the upper right tail of the bivariate normal distribution; that is, the probability that normal variables X and Y with correlation R will satisfy H <= X and K <= Y.
The text of many ACM TOMS algorithms is available online through ACM: http://calgo.acm.org/ or NETLIB: http://www.netlib.org/toms/index.html.
The computer code and data files described and made available on this web page are distributed under the GNU LGPL license.
TOMS462 is available in a C version and a C++ version and a FORTRAN90 version and a MATLAB version.
OWEN, a C++ library which evaluates Owen's T function.
PROB, a C++ library which contains a number of routines for evaluating cumulative distribution functions.
TEST_VALUES, a C++ library which supplies test values of various mathematical functions.