NormalDistribution Class Reference

Normal distribution function. More...

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

Collaboration diagram for NormalDistribution:

Public Member Functions
	NormalDistribution (Real average=0.0, Real sigma=1.0)
Real	operator() (Real x) const
Real	derivative (Real x) const

Public Attributes
QL_DEPRECATED typedef Real	argument_type
QL_DEPRECATED typedef Real	result_type

Private Attributes
Real	average_
Real	sigma_
Real	normalizationFactor_
Real	denominator_
Real	derNormalizationFactor_

Detailed Description

Normal distribution function.

Given x, it returns its probability in a Gaussian normal distribution. It provides the first derivative too.

Tests:

the correctness of the returned value is tested by checking it against numerical calculations. Cross-checks are also performed against the CumulativeNormalDistribution and InverseCumulativeNormal classes.

Definition at line 44 of file normaldistribution.hpp.

Constructor & Destructor Documentation

NormalDistribution()

NormalDistribution	(	Real	average = 0.0,
		Real	sigma = 1.0
	)

Definition at line 334 of file normaldistribution.hpp.

Member Function Documentation

operator()()

Real operator()

(

Real

x

)

const

Definition at line 347 of file normaldistribution.hpp.

derivative()

Real derivative

(

Real

x

)

const

Definition at line 355 of file normaldistribution.hpp.

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Member Data Documentation

argument_type

QL_DEPRECATED typedef Real argument_type

Deprecated:

Use auto or decltype instead. Deprecated in version 1.29.

Definition at line 50 of file normaldistribution.hpp.

result_type

QL_DEPRECATED typedef Real result_type

Deprecated:

Use auto or decltype instead. Deprecated in version 1.29.

Definition at line 56 of file normaldistribution.hpp.

average_

Real average_

private

Definition at line 64 of file normaldistribution.hpp.

sigma_

Real sigma_

private

Definition at line 64 of file normaldistribution.hpp.

normalizationFactor_

Real normalizationFactor_

private

Definition at line 64 of file normaldistribution.hpp.

denominator_

Real denominator_

private

Definition at line 64 of file normaldistribution.hpp.

derNormalizationFactor_

Real derNormalizationFactor_

private

Definition at line 65 of file normaldistribution.hpp.