QuantLib_MaddockInverseCumulativeNormal man page

MaddockInverseCumulativeNormal — Maddock's Inverse cumulative normal distribution class.


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

Inherits unary_function< Real, Real >.

Public Member Functions

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

Real operator() (Real x) const

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.


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Referenced By

MaddockInverseCumulativeNormal(3) is an alias of QuantLib_MaddockInverseCumulativeNormal(3).

QuantLib Version 1.8.1 Fri Sep 23 2016