ql/Math/binomialdistribution.hpp File Reference


Detailed Description

Binomial distribution.

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

Include dependency graph for binomialdistribution.hpp:


Namespaces

namespace  QuantLib

Functions

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

Function Documentation

Real QuantLib::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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