ql/Math/beta.hpp File Reference


Detailed Description

Beta and beta incomplete functions.

#include <ql/Math/gammadistribution.hpp>

Include dependency graph for beta.hpp:

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Namespaces

namespace  QuantLib

Functions

Real betaFunction (Real z, Real w)
Real betaContinuedFraction (Real a, Real b, Real x, Real accuracy=1e-16, Integer maxIteration=100)
Real incompleteBetaFunction (Real a, Real b, Real x, Real accuracy=1e-16, Integer maxIteration=100)
 Incomplete Beta function.

Function Documentation

Real incompleteBetaFunction Real  a,
Real  b,
Real  x,
Real  accuracy = 1e-16,
Integer  maxIteration = 100
 

Incomplete Beta function.

Incomplete Beta function

The implementation of the algorithm was inspired by "Numerical Recipes in C", 2nd edition, Press, Teukolsky, Vetterling, Flannery, chapter 6


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