S_DisplayNormalCopulaPDF.m

close all; 
clc; clear;

Mu=[1  -1]';       % exp values
r=0.7;            % correlation
sigmas=[1 1]';     % st. deviations

%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
Sigma=diag(sigmas)*[1 r;r 1]*diag(sigmas);

GridSide1=[.05:.05:.95];
GridSide2=GridSide1;
NumGrid=length(GridSide1);

F_U=zeros(NumGrid);
for j=1:NumGrid
    for k=1:NumGrid
        u=[GridSide1(j)
            GridSide2(k)];
        F_U(j,k)=NormalCopulaPDF(u,Mu,Sigma);
    end
end
    
[G1,G2]=meshgrid(GridSide1,GridSide2);
surf(G1,G2,F_U)
xlabel('U_1')
ylabel('U_2')
zlabel('Copula pdf')