/*
Copyright (C) 2008 Richard Gomes
This source code is release under the BSD License.
This file is part of JQuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://jquantlib.org/
JQuantLib is free software: you can redistribute it and/or modify it
under the terms of the JQuantLib license. You should have received a
copy of the license along with this program; if not, please email
<jquant-devel@lists.sourceforge.net>. The license is also available online at
<http://www.jquantlib.org/index.php/LICENSE.TXT>.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
JQuantLib is based on QuantLib. http://quantlib.org/
When applicable, the original copyright notice follows this notice.
*/
package org.jquantlib.math.distributions;
import org.jquantlib.QL;
import org.jquantlib.math.Constants;
import org.jquantlib.math.Factorial;
import org.jquantlib.math.Ops;
/**
* Inverse cumulative Poisson distribution function.
*
* @author Dominik Holenstein
*/
// TEST the correctness of the returned value is tested by checking it against known good results.
public class InverseCumulativePoisson implements Ops.DoubleOp {
//
// private fields
//
private final double lambda;
//
// public constructors
//
public InverseCumulativePoisson() {
this(1.0);
}
public InverseCumulativePoisson(final double lambda) {
QL.require(lambda>0.0, "lambda must be positive");
this.lambda = lambda;
}
//
// public methods
//
private double calcSummand(final int index) {
final Factorial fact = new Factorial();
return Math.exp(-lambda) * Math.pow(lambda, index) / fact.get(index);
}
//
// implements Ops.op
//
/**
* Computes the inverse cumulative poisson distribution.
*
* @param x
* @returns the inverse of the cumulative poisson distribution of input <code>x</code>
*/
@Override
public double op (final double x) /* @Read-only */ {
QL.require(x >= 0.0 && x <= 1.0 , "undefined outside interval [0,1]"); // QA:[RG]::verified // TODO: message
if (x == 1.0) {
return Constants.QL_MAX_REAL;
}
double sum = 0.0;
int index = 0;
while (x > sum) {
sum += calcSummand(index);
index++;
}
return (index-1);
}
}