QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Maddock's Inverse cumulative normal distribution class. More...
#include <normaldistribution.hpp>
Public Member Functions | |
MaddockInverseCumulativeNormal (Real average=0.0, Real sigma=1.0) | |
Real | operator() (Real x) const |
Private Attributes | |
const Real | average_ |
const Real | sigma_ |
Maddock's 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 ...
From the boost documentation: These functions use a rational approximation devised by John Maddock to calculate an initial approximation to the result that is accurate to ~10^-19, then only if that has insufficient accuracy compared to the epsilon for type double, do we clean up the result using Halley iteration.
Definition at line 238 of file normaldistribution.hpp.
MaddockInverseCumulativeNormal | ( | Real | average = 0.0 , |
Real | sigma = 1.0 |
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Definition at line 171 of file normaldistribution.cpp.
Definition at line 175 of file normaldistribution.cpp.
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private |
Definition at line 245 of file normaldistribution.hpp.
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private |
Definition at line 245 of file normaldistribution.hpp.