com.numericalmethod.suanshu.analysis.function.special
Class ErfInverse

java.lang.Object
  com.numericalmethod.suanshu.analysis.function.rn2r1.UnivariateRealFunction
      com.numericalmethod.suanshu.analysis.function.special.ErfInverse

All Implemented Interfaces:

Function, RealScalarFunction

public class ErfInverse
extends UnivariateRealFunction

This class computes an approximation to the inverse of the error function, erf-1(x).

We compute erf-1(x) using CumulativeNormalInverse.

See Also:

• "Paul Glasserman. "Section 2.3," Monte Carlo Methods in Financial Engineering."
• Wikipedia: Error function

Nested Class Summary

Nested classes/interfaces inherited from interface com.numericalmethod.suanshu.analysis.function.Function

Function.EvaluationException

Constructor Summary

ErfInverse()

Method Summary

double

evaluate(double u) Compute f(x).

Methods inherited from class com.numericalmethod.suanshu.analysis.function.rn2r1.UnivariateRealFunction

dimension4Domain, dimension4Range, evaluate

Methods inherited from class java.lang.Object

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

Constructor Detail

ErfInverse

public ErfInverse()

Method Detail

evaluate

public double evaluate(double u)

Description copied from class: UnivariateRealFunction

Compute f(x).

Specified by:

evaluate in class UnivariateRealFunction

Parameters:

u - x

Returns:

f(x)