Class LogNormalDistribution

java.lang.Object

net.finmath.functions.LogNormalDistribution

public class LogNormalDistribution
extends Object

Version:

1.0

Author:

Christian Fries

Nested Class Summary

Nested Classes

Modifier and Type	Class	Description
static class	LogNormalDistribution.LogNormalDistributionParameters

Method Summary

Modifier and Type	Method	Description
static double	cumulativeDistribution(double x)	Cumulative distribution function of the standard normal distribution.
static double	density(double x)	Returns the value of the density at x.
static LogNormalDistribution.LogNormalDistributionParameters	getParametersFromMeanAndStdDev(double mean, double standardDeviation)
static LogNormalDistribution.LogNormalDistributionParameters	getParametersFromMuAndSigma(double mu, double sigma)
static double	inverseCumulativeDistribution(double p)	Inverse of the cumulative distribution function of the standard normal distribution using Jakarta commons-math

Methods inherited from class Object

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

Method Details

getParametersFromMuAndSigma

public static LogNormalDistribution.LogNormalDistributionParameters getParametersFromMuAndSigma(double mu,
 double sigma)

getParametersFromMeanAndStdDev

public static LogNormalDistribution.LogNormalDistributionParameters getParametersFromMeanAndStdDev(double mean,
 double standardDeviation)

density

public static double density(double x)

Returns the value of the density at x.

Parameters:

x - Argument

Returns:

The value of the density at x.

cumulativeDistribution

public static double cumulativeDistribution(double x)

Cumulative distribution function of the standard normal distribution. The implementation is currently using Jakarta commons-math

Parameters:

x - A sample point

Returns:

The probability of being below x, given x is standard normal

inverseCumulativeDistribution

public static double inverseCumulativeDistribution(double p)

Inverse of the cumulative distribution function of the standard normal distribution using Jakarta commons-math

Parameters:

p - The probability

Returns:

The quantile