From: Grześ A. <gan...@gm...> - 2013-02-07 20:38:11
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Hi Peter, It is implemented in boost, see e.g. http://stackoverflow.com/questions/5499967/gamma-distributed-random-variables-in-c. You would have to look at the boost code to get the actual details though. Cheers, Grzegorz On 7 February 2013 18:53, Peter Caspers <pca...@gm...> wrote: > 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 >> >> >> ------------------------------------------------------------------------------ >> Free Next-Gen Firewall Hardware Offer >> Buy your Sophos next-gen firewall before the end March 2013 >> and get the hardware for free! Learn more. >> http://p.sf.net/sfu/sophos-d2d-feb >> _______________________________________________ >> QuantLib-dev mailing list >> Qua...@li... >> https://lists.sourceforge.net/lists/listinfo/quantlib-dev > > |