org.drip.measure.gaussian

Class NormalQuadrature

java.lang.Object

org.drip.measure.gaussian.NormalQuadrature

public class NormalQuadrature
extends java.lang.Object

NormalQuadrature implements the Quadrature Metrics behind the Univariate Normal Distribution. It implements the Incremental, the Cumulative, and the Inverse Cumulative Distribution Densities.

Author:

Robert Sedgewick

Constructor Summary

Constructors

Constructor and Description
NormalQuadrature()

Method Summary

Modifier and Type	Method and Description
static double	CDF(double dblX) Compute the Cumulative Distribution Function up to the specified variate
static double	Density(double dblX) Retrieve the Density at the specified Point using Zero Mean and Unit Variance
static double	InverseCDF(double dblY) Compute the Inverse CDF of the Distribution up to the specified Y
static double	Random() Generate a Random Univariate Number following a Gaussian Distribution

Methods inherited from class java.lang.Object

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

Constructor Detail

NormalQuadrature

public NormalQuadrature()

Method Detail

Density

public static final double Density(double dblX)
                            throws java.lang.Exception

Retrieve the Density at the specified Point using Zero Mean and Unit Variance

Parameters:

dblX - The Ordinate

Returns:

The Density at the specified Point Zero Mean and Unit Variance

Throws:

java.lang.Exception - Thrown if Inputs are Invalid

CDF

public static final double CDF(double dblX)
                        throws java.lang.Exception

Compute the Cumulative Distribution Function up to the specified variate

Parameters:

dblX - The Variate

Returns:

The Cumulative Distribution Function up to the specified variate

Throws:

java.lang.Exception - thrown if the Inputs are Invalid

InverseCDF

public static final double InverseCDF(double dblY)
                               throws java.lang.Exception

Compute the Inverse CDF of the Distribution up to the specified Y

Parameters:

dblY - Y

Returns:

The Inverse CDF of the Distribution up to the specified Y

Throws:

java.lang.Exception - Thrown if Inputs are Invalid

Random

public static final double Random()
                           throws java.lang.Exception

Generate a Random Univariate Number following a Gaussian Distribution

Returns:

The Random Univariate Number

Throws:

java.lang.Exception - Thrown the Random Number cannot be generated