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function erg = vasicekpdf(x,p,rho)
%VASICEKPDF Vasicek probability distribution function.
%   erg = VASICEKPDF(X,P,RHO) returns the Vasicek probability distribution function
%   with expectation p \in (0,1) and correlation parameter rho < 1.
%

if nargin < 3
    error('Requires three input arguments.');
end

Ninvx = normalinv(x);
Ninvp = normalinv(p);
erg = sqrt((1-rho)/rho) * exp( (0.5-(1-rho)/(2*rho))*Ninvx.^2 + sqrt(1-rho)/rho*Ninvx*Ninvp - 0.5/rho*Ninvp^2 );