ql/Math/binomialdistribution.hpp File Reference


Detailed Description

Binomial distribution.

#include <ql/Math/factorial.hpp>
#include <ql/Math/beta.hpp>

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Namespaces

namespace  QuantLib

Classes

class  BinomialDistribution
 Binomial probability distribution function. More...
class  CumulativeBinomialDistribution
 Cumulative binomial distribution function. More...

Functions

Real binomialCoefficientLn (BigNatural n, BigNatural k)
Real binomialCoefficient (BigNatural n, BigNatural k)
Real PeizerPrattMethod2Inversion (Real z, BigNatural n)

Function Documentation

Real PeizerPrattMethod2Inversion Real  z,
BigNatural  n
 

Given an odd integer n and a real number z it returns p such that: 1 - CumulativeBinomialDistribution((n-1)/2, n, p) = CumulativeNormalDistribution(z)

Precondition:
n must be odd


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