QuantLib_InverseCumulativeNormal man page

InverseCumulativeNormal — Inverse cumulative normal distribution function.  


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

Inherits unary_function< Real, Real >.

Public Member Functions

InverseCumulativeNormal (Real average=0.0, Real sigma=1.0)
Real operator() (Real x) const

Static Public Member Functions

static Real standard_value (Real x)

Detailed Description

Inverse cumulative normal distribution function.

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 ...

It use Acklam's approximation: by Peter J. Acklam, University of Oslo, Statistics Division. URL: http://home.online.no/~pjacklam/notes/invnorm/index.html

This class can also be used to generate a gaussian normal distribution from a uniform distribution. This is especially useful when a gaussian normal distribution is generated from a low discrepancy uniform distribution: in this case the traditional Box-Muller approach and its variants would not preserve the sequence's low-discrepancy.


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Referenced By

The man pages InverseCumulativeNormal(3) and standard_value(3) are aliases of QuantLib_InverseCumulativeNormal(3).

Mon Apr 30 2018 Version 1.12.1 QuantLib