Maddock's Inverse cumulative normal distribution class. More...

#include <ql/math/distributions/normaldistribution.hpp>

Collaboration diagram for MaddockInverseCumulativeNormal:

Public Member Functions
	MaddockInverseCumulativeNormal (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
const Real	average_

const Real	sigma_

Detailed Description

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 286 of file normaldistribution.hpp.

Constructor & Destructor Documentation

◆ MaddockInverseCumulativeNormal()

MaddockInverseCumulativeNormal	(	Real	average = `0.0`,
		Real	sigma = `1.0`
	)

Definition at line 171 of file normaldistribution.cpp.

Member Function Documentation

◆ operator()()

Real operator() ( Real x ) const

Definition at line 175 of file normaldistribution.cpp.

Member Data Documentation

◆ argument_type

QL_DEPRECATED typedef Real argument_type

Deprecated:: Use auto or decltype instead. Deprecated in version 1.29.

Definition at line 292 of file normaldistribution.hpp.

◆ result_type

QL_DEPRECATED typedef Real result_type

Deprecated:: Use auto or decltype instead. Deprecated in version 1.29.

Definition at line 298 of file normaldistribution.hpp.

◆ average_

const Real average_

private

Definition at line 305 of file normaldistribution.hpp.

◆ sigma_

const Real sigma_