#define _USE_MATH_DEFINES #include #include //This function extracted from R-project source and modificated double qnorm(double p) { double q, r, val; if (p <= 0.0) return -std::numeric_limits::infinity(); if (p >= 1.0) return std::numeric_limits::infinity(); q = p - 0.5; if ( (q >= -0.425) && (q <= .425) ) {/* 0.075 <= p <= 0.925 */ r = .180625 - q * q; val = q * (((((((r * 2509.0809287301226727 + 33430.575583588128105) * r + 67265.770927008700853) * r + 45921.953931549871457) * r + 13731.693765509461125) * r + 1971.5909503065514427) * r + 133.14166789178437745) * r + 3.387132872796366608) / (((((((r * 5226.495278852854561 + 28729.085735721942674) * r + 39307.89580009271061) * r + 21213.794301586595867) * r + 5394.1960214247511077) * r + 687.1870074920579083) * r + 42.313330701600911252) * r + 1.); } else { /* closer than 0.075 from {0,1} boundary */ //r = sqrt(- log( min(1-p , p))); r = sqrt(- log( (q > 0)? 1-p : p)); /* r = sqrt(-log(r)) <==> min(p, 1-p) = exp( - r^2 ) */ if (r <= 5.) { /* <==> min(p,1-p) >= exp(-25) ~= 1.3888e-11 */ r += -1.6; val = (((((((r * 7.7454501427834140764e-4 + .0227238449892691845833) * r + .24178072517745061177) * r + 1.27045825245236838258) * r + 3.64784832476320460504) * r + 5.7694972214606914055) * r + 4.6303378461565452959) * r + 1.42343711074968357734) / (((((((r * 1.05075007164441684324e-9 + 5.475938084995344946e-4) * r + .0151986665636164571966) * r + .14810397642748007459) * r + .68976733498510000455) * r + 1.6763848301838038494) * r + 2.05319162663775882187) * r + 1.); } else { /* very close to 0 or 1 */ r += -5.; val = (((((((r * 2.01033439929228813265e-7 + 2.71155556874348757815e-5) * r + .0012426609473880784386) * r + .026532189526576123093) * r + .29656057182850489123) * r + 1.7848265399172913358) * r + 5.4637849111641143699) * r + 6.6579046435011037772) / (((((((r * 2.04426310338993978564e-15 + 1.4215117583164458887e-7)* r + 1.8463183175100546818e-5) * r + 7.868691311456132591e-4) * r + .0148753612908506148525) * r + .13692988092273580531) * r + .59983220655588793769) * r + 1.); } if(q < 0.0) val = -val; } return val; }