Library "normsinv"
Description:
Returns the inverse of the standard normal cumulative distribution.
The distribution has a mean of zero and a standard deviation of one; i.e.,
normsinv seeks that value z such that a normal distribtuion of mean of zero
and standard deviation one is equal to the input probability.
Reference:
github.com
normsinv(y0)...
Library "cndev"
This function returns the inverse of cumulative normal distribution function
Reference:
The Full Monte, by Boris Moro, Union Bank of Switzerland . RISK 1995(2)
CNDEV(U)
Returns the inverse of cumulative normal distribution function
Parameters:
U : float,
Returns: float.
Library "ctnd"
Description:
Double precision algorithm to compute the cumulative trivariate normal distribution
found in A.Genz, Numerical computation of rectangular bivariate and trivariate normal
and t probabilities”, Statistics and Computing, 14, (3), 2004. The cumulative trivariate
normal is needed to price window barrier options, see G.F. Armstrong,...
Library "norminv"
Description:
An inverse normal distribution is a way to work backwards
from a known probability to find an x-value. It is an informal term and
doesn't refer to a particular probability distribution. Returns the
value of the inverse normal distribution function for a specified value,
mean, and standard deviation.
Reference:
...
Library "cnd"
Cumulative Normal Distribution
CND1(x)
Returns the Cumulative Normal Distribution (CND) using the Hart (1968) method. (preferred method, 14-18 decimal accuracy)
Parameters:
x : float,
Returns: float.
CND2(x)
Returns the Cumulative Normal Distribution (CND) using the Abromowitz and Stegun (1974) Polynomial...
