QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.20
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MaddockInverseCumulativeNormal Class Reference

Maddock's Inverse cumulative normal distribution class. More...

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

Public Types

typedef Real argument_type
 
typedef Real result_type
 

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.