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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2002, 2003 Sadruddin Rejeb
Copyright (C) 2007 Klaus Spanderen
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
<quantlib-dev@lists.sf.net>. The license is also available online at
<https://www.quantlib.org/license.shtml>.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
/*! \file chisquaredistribution.hpp
\brief Chi-square (central and non-central) distributions
*/
#ifndef quantlib_chi_square_distribution_hpp
#define quantlib_chi_square_distribution_hpp
#include <ql/types.hpp>
#include <functional>
namespace QuantLib {
class CumulativeChiSquareDistribution {
public:
explicit CumulativeChiSquareDistribution(Real df) : df_(df) {}
Real operator()(Real x) const;
private:
Real df_;
};
class NonCentralCumulativeChiSquareDistribution {
public:
NonCentralCumulativeChiSquareDistribution(Real df, Real ncp)
: df_(df), ncp_(ncp) {}
Real operator()(Real x) const;
private:
Real df_, ncp_;
};
class NonCentralCumulativeChiSquareSankaranApprox {
public:
NonCentralCumulativeChiSquareSankaranApprox(Real df, Real ncp)
: df_(df), ncp_(ncp) {}
Real operator()(Real x) const;
private:
Real df_, ncp_;
};
class InverseNonCentralCumulativeChiSquareDistribution {
public:
InverseNonCentralCumulativeChiSquareDistribution(Real df, Real ncp,
Size maxEvaluations=10,
Real accuracy = 1e-8);
Real operator()(Real x) const;
private:
NonCentralCumulativeChiSquareDistribution nonCentralDist_;
const Real guess_;
const Size maxEvaluations_;
const Real accuracy_;
};
}
#endif
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