Module net.finmath.lib
Package net.finmath.functions

Class NormalDistribution

java.lang.Object
net.finmath.functions.NormalDistribution
public class NormalDistribution extends Object
Version:
1.0
Author:
Christian Fries

  • Method Details

    • 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

    • inverseCumulativeNormalDistributionWichura

      public static double inverseCumulativeNormalDistributionWichura​(double p)
      Inverse of the cumulative distribution function of the standard normal distribution Java Version of Michael J. Wichura: Algorithm AS241 Appl. Statist. (1988) Vol. 37, No. 3 Produces the normal deviate z corresponding to a given lower tail area of p; z is accurate to about 1 part in 10**16. The hash sums below are the sums of the mantissas of the coefficients. they are included for use in checking transcription.
      Parameters:
      p - The probability (quantile).
      Returns:
      The argument of the cumulative distribution function being assigned to p.