QuantLib_CumulativeStudentDistribution man page

CumulativeStudentDistribution — Cumulative Student t-distribution.


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

Inherits unary_function< Real, Real >.

Public Member Functions

CumulativeStudentDistribution (Integer n)

Real operator() (Real x) const

Detailed Description

Cumulative Student t-distribution.

Cumulative distribution function for $ n $ degrees of freedom (see mathworld.wolfram.com): [ F(x) = int_{-infty}^xf(y)dy = ac{1}{2} +ac{1}{2}sgn(x) left[ Ileft(1,ac{n}{2},ac{1}{2}right) - Ileft(ac{n}{n+y^2}, ac{n}{2},ac{1}{2}right)right] ] where $ I(z; a, b) $ is the regularized incomplete beta function.


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Referenced By

CumulativeStudentDistribution(3) is an alias of QuantLib_CumulativeStudentDistribution(3).

QuantLib Version 1.8.1 Fri Sep 23 2016