CumulativeNormalDistribution Class Reference

Cumulative normal distribution function. More...

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

Collaboration diagram for CumulativeNormalDistribution:

Public Member Functions
	CumulativeNormalDistribution (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_
NormalDistribution	gaussian_
ErrorFunction	errorFunction_

Detailed Description

Cumulative normal distribution function.

Given x it provides an approximation to the integral of the gaussian normal distribution: formula here ...

For this implementation see M. Abramowitz and I. Stegun, Handbook of Mathematical Functions, Dover Publications, New York (1972)

Definition at line 80 of file normaldistribution.hpp.

Constructor & Destructor Documentation

CumulativeNormalDistribution()

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

Definition at line 359 of file normaldistribution.hpp.

Member Function Documentation

operator()()

Real operator()

(

Real

x

)

const

Definition at line 30 of file normaldistribution.cpp.

derivative()

Real derivative

(

Real

x

)

const

Definition at line 368 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 86 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 92 of file normaldistribution.hpp.

average_

Real average_

private

Definition at line 100 of file normaldistribution.hpp.

sigma_

Real sigma_

private

Definition at line 100 of file normaldistribution.hpp.

gaussian_

NormalDistribution gaussian_

private

Definition at line 101 of file normaldistribution.hpp.

errorFunction_

ErrorFunction errorFunction_

private

Definition at line 102 of file normaldistribution.hpp.