QuantLib
: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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ql
math
beta.hpp
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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
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/*
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Copyright (C) 2003 Ferdinando Ametrano
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This file is part of QuantLib, a free-software/open-source library
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for financial quantitative analysts and developers - http://quantlib.org/
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QuantLib is free software: you can redistribute it and/or modify it
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under the terms of the QuantLib license. You should have received a
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copy of the license along with this program; if not, please email
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<quantlib-dev@lists.sf.net>. The license is also available online at
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<http://quantlib.org/license.shtml>.
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This program is distributed in the hope that it will be useful, but WITHOUT
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ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
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FOR A PARTICULAR PURPOSE. See the license for more details.
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*/
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/*! \file beta.hpp
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\brief Beta and beta incomplete functions
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*/
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#ifndef quantlib_math_beta_h
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#define quantlib_math_beta_h
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#include <
ql/math/distributions/gammadistribution.hpp
>
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namespace
QuantLib
{
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inline
Real
betaFunction
(
Real
z,
Real
w) {
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return
std::exp(
GammaFunction
().logValue(z) +
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GammaFunction
().logValue(w) -
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GammaFunction
().logValue(z+w));
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}
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Real
betaContinuedFraction
(
Real
a,
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Real
b
,
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Real
x,
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Real
accuracy = 1e-16,
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Integer
maxIteration = 100);
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//! Incomplete Beta function
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/*! Incomplete Beta function
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The implementation of the algorithm was inspired by
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"Numerical Recipes in C", 2nd edition,
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Press, Teukolsky, Vetterling, Flannery, chapter 6
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*/
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Real
incompleteBetaFunction
(
Real
a,
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Real
b
,
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Real
x,
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Real
accuracy = 1e-16,
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Integer
maxIteration = 100);
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}
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#endif
QuantLib::GammaFunction
Gamma function class.
Definition:
gammadistribution.hpp:56
b
ext::function< Real(Real)> b
Definition:
extendedornsteinuhlenbeckprocess.cpp:30
gammadistribution.hpp
Gamma distribution.
QuantLib::Real
QL_REAL Real
real number
Definition:
types.hpp:50
QuantLib::Integer
QL_INTEGER Integer
integer number
Definition:
types.hpp:35
QuantLib
Definition:
any.hpp:35
QuantLib::betaContinuedFraction
Real betaContinuedFraction(Real a, Real b, Real x, Real accuracy, Integer maxIteration)
Definition:
beta.cpp:29
QuantLib::incompleteBetaFunction
Real incompleteBetaFunction(Real a, Real b, Real x, Real accuracy, Integer maxIteration)
Incomplete Beta function.
Definition:
beta.cpp:67
QuantLib::betaFunction
Real betaFunction(Real z, Real w)
Definition:
beta.hpp:31
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