org.jquantlib.math.distributions

Class InverseCumulativeNormal

java.lang.Object

org.jquantlib.math.distributions.InverseCumulativeNormal

All Implemented Interfaces:

Ops.DoubleOp, InverseCumulative

public class InverseCumulativeNormal
extends java.lang.Object
implements InverseCumulative

The inverse normal cumulative distribution is a non-linear function for which no closed-form solution exists. The function is continuous, monotonically increasing, infinitely differentiable, and maps the open interval (0,1) to the whole real line.

See Also:

An algorithm for computing the inverse normal cumulative distribution function

Constructor Summary

Constructors

Constructor and Description
InverseCumulativeNormal()
InverseCumulativeNormal(double average)
InverseCumulativeNormal(double average, double sigma)

Method Summary

Modifier and Type	Method and Description
double	op(double x) Computes the inverse cumulative normal distribution.

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

InverseCumulativeNormal

public InverseCumulativeNormal()

InverseCumulativeNormal

public InverseCumulativeNormal(double average)

InverseCumulativeNormal

public InverseCumulativeNormal(double average,
                               double sigma)

Method Detail

op

public double op(double x)

Computes the inverse cumulative normal distribution.

Specified by:

op in interface Ops.DoubleOp

Parameters:

x -