toms462, a FORTRAN77 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://www.acm.org/pubs/calgo 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 MIT license
toms462 is available in a C version and a C++ version and a Fortan90 version and a MATLAB version and an Octave version.
owen, a FORTRAN77 library which evaluates Owen's T function.
prob, a FORTRAN90 library which contains a number of routines for evaluating cumulative distribution functions.
TEST_VALUES, a FORTRAN77 library which supplies test values of various mathematical functions.