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QuantLib_CumulativePoissonDistribution

NAME

QuantLib::CumulativePoissonDistribution -

Cumulative Poisson distribution function.

SYNOPSIS

#include <ql/math/distributions/poissondistribution.hpp>

Inherits std::unary_function< Real, Real >.

Public Member Functions

CumulativePoissonDistribution (Real mu)

Real operator() (BigNatural k) const

Detailed Description

Cumulative Poisson distribution function.

This function provides an approximation of the integral of the Poisson distribution.

For this implementation see 'Numerical Recipes in C', 2nd edition, Press, Teukolsky, Vetterling, Flannery, chapter 6

Tests

the correctness of the returned value is tested by checking it against known good results.

Author

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