QuantLib_InverseCumulativeBehrensFisher man page

InverseCumulativeBehrensFisher — Inverse of the cumulative of the convolution of odd-T distributions.  

Synopsis

#include <ql/experimental/math/convolvedstudentt.hpp>

Inherits unary_function< Probability, Real >.

Public Types

typedef Real result_type
typedef Probability argument_type

Public Member Functions

InverseCumulativeBehrensFisher (const std::vector< Integer > &degreesFreedom=std::vector< Integer >(), const std::vector< Real > &factors=std::vector< Real >(), Real accuracy=1.e-6)
Real operator() (const Probability q) const
Returns the cumulative inverse value.

Detailed Description

Inverse of the cumulative of the convolution of odd-T distributions.

Finds the inverse through a root solver. To find limits for the solver domain use is made of the property that the convolved distribution is bounded above by the normalized gaussian. If the coeffiecient in the linear combination add up to a number below one the T of order one can be used as a limit below but in general this is not necessarily the case and a constant is used. Also the fact that the combination is symmetric is used.

Constructor & Destructor Documentation

InverseCumulativeBehrensFisher (const std::vector< Integer > & degreesFreedom = std::vector< Integer >(), const std::vector< Real > & factors = std::vector< Real >(), Real accuracy = 1.e-6)

Parameters:

degreesFreedom Degrees of freedom of the Ts convolved. The algorithm is limited to odd orders only.
factors Factors in the linear combination of the Ts.
accuracy The accuracy of the root-solving process.

Author

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Referenced By

The man page InverseCumulativeBehrensFisher(3) is an alias of QuantLib_InverseCumulativeBehrensFisher(3).

Fri Sep 1 2017 Version 1.10.1 QuantLib