Hi,
I have found that there is no method which will find the inverse of cumulative distribution for LogNormal. So I thought it has to get included in your code. So here is the method I have written.
public double InverseCumulativeDistribution(double x)
{
return (Math.Exp(Fn.ErfInverse(2.0 * x - 1.0) * Constants.Sqrt2 * _sigma + _mu));
}
If you include this method in your LognormalDistribution.cs class then it will be great. I still request you to test this method then include it in your code, so that it will be beneficial for other people who would like to use your code for their work.
Thanks,
Reval
amit.vadje@revalanalytics.com