Package com.activeviam.risk.core.utils
Class MathFunctions
- java.lang.Object
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- com.activeviam.risk.core.utils.MathFunctions
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public class MathFunctions extends Object
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Nested Class Summary
Nested Classes Modifier and Type Class Description static class
MathFunctions.Metric
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Constructor Summary
Constructors Constructor Description MathFunctions()
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Method Summary
All Methods Static Methods Concrete Methods 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)
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Method Detail
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factorial
public static long factorial(int n)
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normInv
public static double normInv(double p, double mu, double sigma)
- Parameters:
p
- pmu
- musigma
- sigma- Returns:
- z-score
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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
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