QuantLib: a free/open-source library for quantitative finance
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beta.hpp
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1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2003 Ferdinando Ametrano
5
6 This file is part of QuantLib, a free-software/open-source library
7 for financial quantitative analysts and developers - http://quantlib.org/
8
9 QuantLib is free software: you can redistribute it and/or modify it
10 under the terms of the QuantLib license. You should have received a
11 copy of the license along with this program; if not, please email
12 <quantlib-dev@lists.sf.net>. The license is also available online at
13 <http://quantlib.org/license.shtml>.
14
15 This program is distributed in the hope that it will be useful, but WITHOUT
16 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
17 FOR A PARTICULAR PURPOSE. See the license for more details.
18*/
19
20/*! \file beta.hpp
21 \brief Beta and beta incomplete functions
22*/
23
24#ifndef quantlib_math_beta_h
25#define quantlib_math_beta_h
26
28
29namespace QuantLib {
30
31 inline Real betaFunction(Real z, Real w) {
32 return std::exp(GammaFunction().logValue(z) +
33 GammaFunction().logValue(w) -
34 GammaFunction().logValue(z+w));
35 }
36
38 Real b,
39 Real x,
40 Real accuracy = 1e-16,
41 Integer maxIteration = 100);
42
43 //! Incomplete Beta function
44 /*! Incomplete Beta function
45
46 The implementation of the algorithm was inspired by
47 "Numerical Recipes in C", 2nd edition,
48 Press, Teukolsky, Vetterling, Flannery, chapter 6
49 */
51 Real b,
52 Real x,
53 Real accuracy = 1e-16,
54 Integer maxIteration = 100);
55
56}
57
58
59#endif
Gamma function class.
ext::function< Real(Real)> b
Gamma distribution.
QL_REAL Real
real number
Definition: types.hpp:50
QL_INTEGER Integer
integer number
Definition: types.hpp:35
Definition: any.hpp:35
Real betaContinuedFraction(Real a, Real b, Real x, Real accuracy, Integer maxIteration)
Definition: beta.cpp:29
Real incompleteBetaFunction(Real a, Real b, Real x, Real accuracy, Integer maxIteration)
Incomplete Beta function.
Definition: beta.cpp:67
Real betaFunction(Real z, Real w)
Definition: beta.hpp:31