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