[ quantlib-Bugs-1021082 ] Error in InverseCumulativeNormal

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Bugs item #1021082, was opened at 2004-09-02 12:56
Message generated for change (Comment added) made by nando
You can respond by visiting:
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Category: None
Group: None
>Status: Closed
Resolution: None
Priority: 5
Submitted By: Nobody/Anonymous (nobody)
Assigned to: Nobody/Anonymous (nobody)
Summary: Error in InverseCumulativeNormal

Initial Comment:
I get wrong values when using the class
InverseCumulativeNormal. I was expecting the result to
be zero when I tried with a Uniform value of 0.5 but
received something completely different. Luckily
MoroInverseCumulativeNormal seems to work fine though...


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>Comment By: Ferdinando Ametrano (nando)
Date: 2004-09-03 10:16

Message:
Logged In: YES
user_id=34616

I don't have this problem using QuantLib 0.3.7 on my boxes.
I've added the following check to the test-suite:

InverseCumulativeNormal invCum;
QL_REQUIRE(invCum(0.5)==0.0e0, "error";

This should guarantee that all future QuantLib releases
cannot have the problem you reported.

thank you

ciao -- Nando

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