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

Class NormalDistribution

  • public class NormalDistribution
extends Object
    Version:
    1.0
    Author:
    Christian Fries

    • Method Detail

      • 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.