Package com.activeviam.risk.core.utils

Class MathFunctions

java.lang.Object

com.activeviam.risk.core.utils.MathFunctions

public class MathFunctions
extends Object

Nested Class Summary

Nested Classes

Modifier and Type	Class	Description
static class	MathFunctions.Metric

Constructor Summary

Constructors

Constructor	Description
MathFunctions()

Method Summary

Modifier and Type	Method	Description
static long	factorial(int n)
static double	normInv(double p)	Original C++ implementation found at http://www.wilmott.com/messageview.cfm?catid=10&threadid=38771 C# implementation found at http://weblogs.asp.net/esanchez/archive/2010/07/29/a-quick-and-dirty-implementation-of-excel-norminv-function-in-c.aspx Compute the quantile function for the normal distribution.
static double	normInv(double p, double mu, double sigma)

Methods inherited from class java.lang.Object

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

Constructor Detail

MathFunctions

public MathFunctions()

Method Detail

factorial

public static long factorial(int n)

normInv

public static double normInv(double p,
                             double mu,
                             double sigma)

Parameters:

p - p

mu - mu

sigma - sigma

Returns:

z-score

normInv

public static double normInv(double p)

Original C++ implementation found at http://www.wilmott.com/messageview.cfm?catid=10&threadid=38771 C# implementation found at http://weblogs.asp.net/esanchez/archive/2010/07/29/a-quick-and-dirty-implementation-of-excel-norminv-function-in-c.aspx Compute the quantile function for the normal distribution. For small to moderate probabilities, algorithm referenced below is used to obtain an initial approximation which is polished with a final Newton step. For very large arguments, an algorithm of Wichura is used. REFERENCE Beasley, J. D. and S. G. Springer (1977). Algorithm AS 111: The percentage points of the normal distribution, Applied Statistics, 26, 118-121. Wichura, M.J. (1988). Algorithm AS 241: The Percentage Points of the Normal Distribution. Applied Statistics, 37, 477-484.

Parameters:

p - p

Returns:

z-score