QuantLib_MaddockInverseCumulativeNormal man page
MaddockInverseCumulativeNormal — Maddock's Inverse cumulative normal distribution class.
Inherits unary_function< Real, Real >.
Public Member Functions
MaddockInverseCumulativeNormal (Real average=0.0, Real sigma=1.0)
Real operator() (Real x) const
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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MaddockInverseCumulativeNormal(3) is an alias of QuantLib_MaddockInverseCumulativeNormal(3).