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.


Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

The man page MaddockInverseCumulativeNormal(3) is an alias of QuantLib_MaddockInverseCumulativeNormal(3).

Mon Apr 30 2018 Version 1.12.1 QuantLib