Re: [Quantlib-dev] Generating gamma distributed random variables

[Peter C. <pca...@gm...>]

Hi,

there is an implementation of the gamma function and the incomplete 
gamma function in ql (be careful, "incomplete gamma function" seems to 
be defined differently at different places confusingly). With these it 
is easy to compute your pdf and cdf. The inverse cdf seems not to be 
available in ql. I implemented it using a numerical zero search. I am 
not sure if there are better ways to do this ?

Peter

Am 07.02.2013 14:52, schrieb Grześ Andruszkiewicz:
> Hi,
>
> Is the generation of gamma distributed random variables implemented in
> QuantLib (e.g. the inverse cumulative function)? There is a
> GammaDistribution class, but it might be only density...
>
>   I can always use boost if the answer is negative.
>
> Cheers,
> Grzegorz
>
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