QuantLib: a free/open-source library for quantitative finance
Fully annotated sources - version 1.32
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Moro Inverse cumulative normal distribution class. More...
#include <ql/math/distributions/normaldistribution.hpp>
Public Member Functions | |
MoroInverseCumulativeNormal (Real average=0.0, Real sigma=1.0) | |
Real | operator() (Real x) const |
Public Attributes | |
QL_DEPRECATED typedef Real | argument_type |
QL_DEPRECATED typedef Real | result_type |
Private Attributes | |
Real | average_ |
Real | sigma_ |
Static Private Attributes | |
static const Real | a0_ = 2.50662823884 |
static const Real | a1_ =-18.61500062529 |
static const Real | a2_ = 41.39119773534 |
static const Real | a3_ =-25.44106049637 |
static const Real | b0_ = -8.47351093090 |
static const Real | b1_ = 23.08336743743 |
static const Real | b2_ =-21.06224101826 |
static const Real | b3_ = 3.13082909833 |
static const Real | c0_ = 0.3374754822726147 |
static const Real | c1_ = 0.9761690190917186 |
static const Real | c2_ = 0.1607979714918209 |
static const Real | c3_ = 0.0276438810333863 |
static const Real | c4_ = 0.0038405729373609 |
static const Real | c5_ = 0.0003951896511919 |
static const Real | c6_ = 0.0000321767881768 |
static const Real | c7_ = 0.0000002888167364 |
static const Real | c8_ = 0.0000003960315187 |
Moro Inverse cumulative normal distribution class.
Given x between zero and one as the integral value of a gaussian normal distribution this class provides the value y such that formula here ...
It uses Beasly and Springer approximation, with an improved approximation for the tails. See Boris Moro, "The Full Monte", 1995, Risk Magazine.
This class can also be used to generate a gaussian normal distribution from a uniform distribution. This is especially useful when a gaussian normal distribution is generated from a low discrepancy uniform distribution: in this case the traditional Box-Muller approach and its variants would not preserve the sequence's low-discrepancy.
Peter J. Acklam's approximation is better and is available as QuantLib::InverseCumulativeNormal
Definition at line 234 of file normaldistribution.hpp.
MoroInverseCumulativeNormal | ( | Real | average = 0.0 , |
Real | sigma = 1.0 |
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Definition at line 382 of file normaldistribution.hpp.
Definition at line 140 of file normaldistribution.cpp.
QL_DEPRECATED typedef Real argument_type |
auto
or decltype
instead. Deprecated in version 1.29. Definition at line 240 of file normaldistribution.hpp.
QL_DEPRECATED typedef Real result_type |
auto
or decltype
instead. Deprecated in version 1.29. Definition at line 246 of file normaldistribution.hpp.
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Definition at line 253 of file normaldistribution.hpp.
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Definition at line 253 of file normaldistribution.hpp.
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Definition at line 254 of file normaldistribution.hpp.
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Definition at line 255 of file normaldistribution.hpp.
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Definition at line 256 of file normaldistribution.hpp.
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Definition at line 257 of file normaldistribution.hpp.
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Definition at line 258 of file normaldistribution.hpp.
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Definition at line 259 of file normaldistribution.hpp.
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Definition at line 260 of file normaldistribution.hpp.
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Definition at line 261 of file normaldistribution.hpp.
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Definition at line 262 of file normaldistribution.hpp.
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Definition at line 263 of file normaldistribution.hpp.
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Definition at line 264 of file normaldistribution.hpp.
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Definition at line 265 of file normaldistribution.hpp.
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Definition at line 266 of file normaldistribution.hpp.
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Definition at line 267 of file normaldistribution.hpp.
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Definition at line 268 of file normaldistribution.hpp.
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Definition at line 269 of file normaldistribution.hpp.
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Definition at line 270 of file normaldistribution.hpp.