Posted by
Peter Caspers-4 on
Feb 07, 2013; 6:53pm
URL: http://quantlib.414.s1.nabble.com/Generating-gamma-distributed-random-variables-tp14008p14009.html
Hi,
there is an implementation of the gamma function and the incomplete
gamma function in ql (be careful, "incomplete gamma function" seems to
be defined differently at different places confusingly). With these it
is easy to compute your pdf and cdf. The inverse cdf seems not to be
available in ql. I implemented it using a numerical zero search. I am
not sure if there are better ways to do this ?
Peter
Am 07.02.2013 14:52, schrieb Grześ Andruszkiewicz:
> Hi,
>
> Is the generation of gamma distributed random variables implemented in
> QuantLib (e.g. the inverse cumulative function)? There is a
> GammaDistribution class, but it might be only density...
>
> I can always use boost if the answer is negative.
>
> Cheers,
> Grzegorz
>
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