QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Inverse cumulative normal distribution function. More...
#include <normaldistribution.hpp>
Public Member Functions | |
InverseCumulativeNormal (Real average=0.0, Real sigma=1.0) | |
Real | operator() (Real x) const |
Static Public Member Functions | |
static Real | standard_value (Real x) |
Static Private Member Functions | |
static Real | tail_value (Real x) |
Private Attributes | |
Real | average_ |
Real | sigma_ |
Static Private Attributes | |
static const CumulativeNormalDistribution | f_ |
static const Real | a1_ = -3.969683028665376e+01 |
static const Real | a2_ = 2.209460984245205e+02 |
static const Real | a3_ = -2.759285104469687e+02 |
static const Real | a4_ = 1.383577518672690e+02 |
static const Real | a5_ = -3.066479806614716e+01 |
static const Real | a6_ = 2.506628277459239e+00 |
static const Real | b1_ = -5.447609879822406e+01 |
static const Real | b2_ = 1.615858368580409e+02 |
static const Real | b3_ = -1.556989798598866e+02 |
static const Real | b4_ = 6.680131188771972e+01 |
static const Real | b5_ = -1.328068155288572e+01 |
static const Real | c1_ = -7.784894002430293e-03 |
static const Real | c2_ = -3.223964580411365e-01 |
static const Real | c3_ = -2.400758277161838e+00 |
static const Real | c4_ = -2.549732539343734e+00 |
static const Real | c5_ = 4.374664141464968e+00 |
static const Real | c6_ = 2.938163982698783e+00 |
static const Real | d1_ = 7.784695709041462e-03 |
static const Real | d2_ = 3.224671290700398e-01 |
static const Real | d3_ = 2.445134137142996e+00 |
static const Real | d4_ = 3.754408661907416e+00 |
static const Real | x_low_ = 0.02425 |
static const Real | x_high_ = 1.0 - x_low_ |
Inverse cumulative normal distribution function.
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 use Acklam's approximation: by Peter J. Acklam, University of Oslo, Statistics Division. URL: http://home.online.no/~pjacklam/notes/invnorm/index.html
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.
Definition at line 100 of file normaldistribution.hpp.
InverseCumulativeNormal | ( | Real | average = 0.0 , |
Real | sigma = 1.0 |
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Definition at line 301 of file normaldistribution.hpp.
Definition at line 113 of file normaldistribution.hpp.
Definition at line 91 of file normaldistribution.cpp.
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Definition at line 172 of file normaldistribution.hpp.