/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */

/*

 Copyright (C) 2002, 2003 Sadruddin Rejeb

 Copyright (C) 2007 Klaus Spanderen

 This file is part of QuantLib, a free-software/open-source library

 for financial quantitative analysts and developers - http://quantlib.org/

 QuantLib is free software: you can redistribute it and/or modify it

 under the terms of the QuantLib license.  You should have received a

 copy of the license along with this program; if not, please email

 <quantlib-dev@lists.sf.net>. The license is also available online at

 <https://www.quantlib.org/license.shtml>.

 This program is distributed in the hope that it will be useful, but WITHOUT

 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS

 FOR A PARTICULAR PURPOSE.  See the license for more details.

*/

/*! \file chisquaredistribution.hpp

    \brief Chi-square (central and non-central) distributions

*/

#ifndef quantlib_chi_square_distribution_hpp

#define quantlib_chi_square_distribution_hpp

#include <ql/types.hpp>

#include <functional>

namespace QuantLib {

    class CumulativeChiSquareDistribution {

      public:

        explicit CumulativeChiSquareDistribution(Real df) : df_(df) {}

        Real operator()(Real x) const;

      private:

        Real df_;

    };

    class NonCentralCumulativeChiSquareDistribution {

      public:

        NonCentralCumulativeChiSquareDistribution(Real df, Real ncp)

        : df_(df), ncp_(ncp) {}

        Real operator()(Real x) const;

      private:

        Real df_, ncp_;

    };

    class NonCentralCumulativeChiSquareSankaranApprox {

      public:

        NonCentralCumulativeChiSquareSankaranApprox(Real df, Real ncp)

        : df_(df), ncp_(ncp) {}

        Real operator()(Real x) const;

      private:

        Real df_, ncp_;

    };

    class InverseNonCentralCumulativeChiSquareDistribution {

      public:

        InverseNonCentralCumulativeChiSquareDistribution(Real df, Real ncp,

                                               Size maxEvaluations=10,

                                               Real accuracy = 1e-8);

        Real operator()(Real x) const;

    private:

        NonCentralCumulativeChiSquareDistribution nonCentralDist_;

        const Real guess_;

        const Size maxEvaluations_;

        const Real accuracy_;

    };

}

#endif