QuantLib_MoroInverseCumulativeNormal (3) Linux Manual Page
QuantLib::MoroInverseCumulativeNormal – Moro Inverse cumulative normal distribution class.
Synopsis
#include <ql/math/distributions/normaldistribution.hpp>Inherits std::unary_function<Real,Real>.
Public Member Functions
MoroInverseCumulativeNormal (Real average=0.0, Real sigma=1.0)Real operator() (Real x) const
Detailed Description
Moro 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 …
It uses Beasly and Springer approximation, with an improved approximation for the tails. See Boris Moro, ‘The Full Monte’, 1995, Risk Magazine.
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.
Peter J. Acklam’s approximation is better and is available as QuantLib::InverseCumulativeNormal