com.opengamma.strata.math.impl.statistics.distribution

Class NormalDistribution

java.lang.Object

com.opengamma.strata.math.impl.statistics.distribution.NormalDistribution

All Implemented Interfaces:

ProbabilityDistribution<Double>

public class NormalDistribution
extends Object
implements ProbabilityDistribution<Double>

The normal distribution is a continuous probability distribution with probability density function $$ \begin{align*} f(x) = \frac{1}{\sqrt{2\pi}\sigma} e^{-\frac{(x - \mu)^2}{2\sigma^2}} \end{align*} $$ where $\mu$ is the mean and $\sigma$ the standard deviation of the distribution.

Constructor Summary

Constructors

Constructor and Description
NormalDistribution(double mean, double standardDeviation)
NormalDistribution(double mean, double standardDeviation, RandomEngine randomEngine)

Method Summary

Modifier and Type	Method and Description
boolean	equals(Object obj)
double	getCDF(Double x) Returns the cumulative distribution function for a value
double	getInverseCDF(Double p) Given a probability, return the value that returns this cdf
double	getMean()
double	getPDF(Double x) Return the probability density function for a value
double	getStandardDeviation()
int	hashCode()
double	nextRandom()

Methods inherited from class java.lang.Object

clone, finalize, getClass, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

NormalDistribution

public NormalDistribution(double mean,
                          double standardDeviation)

Parameters:

mean - The mean of the distribution

standardDeviation - The standard deviation of the distribution, not negative or zero

NormalDistribution

public NormalDistribution(double mean,
                          double standardDeviation,
                          RandomEngine randomEngine)

Parameters:

mean - The mean of the distribution

standardDeviation - The standard deviation of the distribution, not negative or zero

randomEngine - A generator of uniform random numbers, not null

Method Detail

getCDF

public double getCDF(Double x)

Returns the cumulative distribution function for a value

Specified by:

getCDF in interface ProbabilityDistribution<Double>

Parameters:

x - The value, not null

Returns:

The cdf

getPDF

public double getPDF(Double x)

Return the probability density function for a value

Specified by:

getPDF in interface ProbabilityDistribution<Double>

Parameters:

x - The value, not null

Returns:

The pdf

nextRandom

public double nextRandom()

Specified by:

nextRandom in interface ProbabilityDistribution<Double>

Returns:

The next random number from this distribution

getInverseCDF

public double getInverseCDF(Double p)

Given a probability, return the value that returns this cdf

Specified by:

getInverseCDF in interface ProbabilityDistribution<Double>

Parameters:

p - The probability, not null. $0 \geq p \geq 1$

Returns:

The inverse cdf

getMean

public double getMean()

Returns:

The mean

getStandardDeviation

public double getStandardDeviation()

Returns:

The standard deviation

hashCode

public int hashCode()

Overrides:

hashCode in class Object

equals

public boolean equals(Object obj)

Overrides:

equals in class Object