QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.5
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CumulativePoissonDistribution Class Reference

Cumulative Poisson distribution function. More...

#include <ql/math/distributions/poissondistribution.hpp>

Inherits unary_function< Real, Real >.

Public Member Functions

 CumulativePoissonDistribution (Real mu)
 
Real operator() (BigNatural k) const
 

Detailed Description

Cumulative Poisson distribution function.

This function provides an approximation of the integral of the Poisson distribution.

For this implementation see "Numerical Recipes in C", 2nd edition, Press, Teukolsky, Vetterling, Flannery, chapter 6

Tests:
the correctness of the returned value is tested by checking it against known good results.