ql/Math/incompletegamma.hpp File Reference


Detailed Description

Incomplete Gamma function.

#include <ql/errors.hpp>
#include <ql/types.hpp>
#include <functional>

Include dependency graph for incompletegamma.hpp:


Namespaces

namespace  QuantLib

Functions

Real incompleteGammaFunction (Real a, Real x, Real accuracy=1.0e-13, Integer maxIteration=100)
 Incomplete Gamma function.
Real incompleteGammaFunctionSeriesRepr (Real a, Real x, Real accuracy=1.0e-13, Integer maxIteration=100)
Real incompleteGammaFunctionContinuedFractionRepr (Real a, Real x, Real accuracy=1.0e-13, Integer maxIteration=100)

Function Documentation

Real QuantLib::incompleteGammaFunction Real  a,
Real  x,
Real  accuracy = 1.0e-13,
Integer  maxIteration = 100
 

Incomplete Gamma function.

Incomplete Gamma 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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