/usr/include/ql/math/beta.hpp is in libquantlib0-dev 1.1-2build1.
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1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2003 Ferdinando Ametrano
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
<http://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 beta.hpp
\brief Beta and beta incomplete functions
*/
#ifndef quantlib_math_beta_h
#define quantlib_math_beta_h
#include <ql/math/distributions/gammadistribution.hpp>
namespace QuantLib {
inline Real betaFunction(Real z, Real w) {
return std::exp(GammaFunction().logValue(z) +
GammaFunction().logValue(w) -
GammaFunction().logValue(z+w));
}
Real betaContinuedFraction(Real a,
Real b,
Real x,
Real accuracy = 1e-16,
Integer maxIteration = 100);
//! Incomplete Beta function
/*! Incomplete Beta function
The implementation of the algorithm was inspired by
"Numerical Recipes in C", 2nd edition,
Press, Teukolsky, Vetterling, Flannery, chapter 6
*/
Real incompleteBetaFunction(Real a,
Real b,
Real x,
Real accuracy = 1e-16,
Integer maxIteration = 100);
}
#endif
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