mathf.hpp

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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
 Copyright (C) 2006 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.
*/
 
 
#ifndef qla_mathf_hpp
#define qla_mathf_hpp
 
#include <oh/libraryobject.hpp>
#include <ql/math/distributions/normaldistribution.hpp>
 
namespace QuantLibAddin {
 
    inline double normDist(double x,
                         double mean,
                         double stdDev,
                         bool cumulative) {
        if (cumulative) {
            return QuantLib::CumulativeNormalDistribution(mean, stdDev)(x);
        } else {
            return QuantLib::NormalDistribution(mean, stdDev)(x);
        }
    }
 
    inline double normSDist(double x) {
        return QuantLib::CumulativeNormalDistribution(0.0, 1.0)(x);
    }
 
    inline double normInv(double prob,
                        double mean,
                        double stdDev) {
        return QuantLib::InverseCumulativeNormal(mean, stdDev)(prob);
    }
 
    inline double normSInv(double prob) {
        return QuantLib::InverseCumulativeNormal(0.0, 1.0)(prob);
    }
 
}
 
#endif