Univariate Statistical Distributions

• Published in: Financial Instrument Pricing Using C++ pp. 475 - 513
• Main Author: Duffy, Daniel J
• Format: Book Chapter
• Language: English
• Published: United Kingdom John Wiley & Sons, Incorporated 2018; Wiley
• Subjects: C++ libraries; FINANCE & ACCOUNTING; generic classes; numerical processes; option pricing; option sensitivities; random number generation; univariate statistical distributions
• ISBN: 0470971193; 9780470971192
• DOI: 10.1002/9781119170518.ch15

This chapter introduces two C++ libraries that support random number generation and univariate statistical distributions, namely the standard C++ library and the Boost Statistics library. The C++ library supports approximately 20 statistical univariate distributions. Each distribution is a function object and it allows the developers to generate random numbers that are distributed according to the associated probability function. There are approximately 35 classes in the Boost Statistics library, each of which models a particular univariate distribution. Next, the chapter discusses how to create the generic classes to encapsulate functionality across a wide range of distribution types in both and Boost. It then gives some applications to option pricing and to computing option sensitivities. Finally, the chapter also shows how to create input datasets to numerical processes based on random number generators.