1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2002, 2003 Sadruddin Rejeb
5 Copyright (C) 2007 Klaus Spanderen
6
7 This file is part of QuantLib, a free-software/open-source library
8 for financial quantitative analysts and developers - http://quantlib.org/
9
10 QuantLib is free software: you can redistribute it and/or modify it
11 under the terms of the QuantLib license. You should have received a
12 copy of the license along with this program; if not, please email
13 <quantlib-dev@lists.sf.net>. The license is also available online at
14 <http://quantlib.org/license.shtml>.
15
16 This program is distributed in the hope that it will be useful, but WITHOUT
17 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
18 FOR A PARTICULAR PURPOSE. See the license for more details.
19*/
20
21/*! \file chisquaredistribution.hpp
22 \brief Chi-square (central and non-central) distributions
23*/
24
25#ifndef quantlib_chi_square_distribution_hpp
26#define quantlib_chi_square_distribution_hpp
27
28#include <ql/types.hpp>
29#include <functional>
30
31namespace QuantLib {
32
33 class CumulativeChiSquareDistribution {
34 public:
35 /*! \deprecated Use `auto` or `decltype` instead.
36 Deprecated in version 1.29.
37 */
38 QL_DEPRECATED
39 typedef Real argument_type;
40
41 /*! \deprecated Use `auto` or `decltype` instead.
42 Deprecated in version 1.29.
43 */
44 QL_DEPRECATED
45 typedef Real result_type;
46
47 explicit CumulativeChiSquareDistribution(Real df) : df_(df) {}
48 Real operator()(Real x) const;
49 private:
50 Real df_;
51 };
52
53 class NonCentralCumulativeChiSquareDistribution {
54 public:
55 /*! \deprecated Use `auto` or `decltype` instead.
56 Deprecated in version 1.29.
57 */
58 QL_DEPRECATED
59 typedef Real argument_type;
60
61 /*! \deprecated Use `auto` or `decltype` instead.
62 Deprecated in version 1.29.
63 */
64 QL_DEPRECATED
65 typedef Real result_type;
66
67 NonCentralCumulativeChiSquareDistribution(Real df, Real ncp)
68 : df_(df), ncp_(ncp) {}
69 Real operator()(Real x) const;
70 private:
71 Real df_, ncp_;
72 };
73
74 class NonCentralCumulativeChiSquareSankaranApprox {
75 public:
76 /*! \deprecated Use `auto` or `decltype` instead.
77 Deprecated in version 1.29.
78 */
79 QL_DEPRECATED
80 typedef Real argument_type;
81
82 /*! \deprecated Use `auto` or `decltype` instead.
83 Deprecated in version 1.29.
84 */
85 QL_DEPRECATED
86 typedef Real result_type;
87
88 NonCentralCumulativeChiSquareSankaranApprox(Real df, Real ncp)
89 : df_(df), ncp_(ncp) {}
90 Real operator()(Real x) const;
91 private:
92 Real df_, ncp_;
93 };
94
95 class InverseNonCentralCumulativeChiSquareDistribution {
96 public:
97 /*! \deprecated Use `auto` or `decltype` instead.
98 Deprecated in version 1.29.
99 */
100 QL_DEPRECATED
101 typedef Real argument_type;
102
103 /*! \deprecated Use `auto` or `decltype` instead.
104 Deprecated in version 1.29.
105 */
106 QL_DEPRECATED
107 typedef Real result_type;
108
109 InverseNonCentralCumulativeChiSquareDistribution(Real df, Real ncp,
110 Size maxEvaluations=10,
111 Real accuracy = 1e-8);
112 Real operator()(Real x) const;
113
114 private:
115 NonCentralCumulativeChiSquareDistribution nonCentralDist_;
116 const Real guess_;
117 const Size maxEvaluations_;
118 const Real accuracy_;
119 };
120
121}
122
123
124#endif
125

source code of quantlib/ql/math/distributions/chisquaredistribution.hpp