NAME

QuantLib::InverseCumulativeNormal - Inverse cumulative normal distribution function.

SYNOPSIS


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

Inherits std::unary_function<Real,Real>.

Public Member Functions


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

Real operator() (Real x) const

Detailed Description

Inverse cumulative normal distribution function.

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 use Acklam's approximation: by Peter J. Acklam, University of Oslo, Statistics Division. URL: http://home.online.no/~pjacklam/notes/invnorm/index.html

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.

Author

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