QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Public Member Functions | Private Attributes | List of all members
CumulativeNormalDistribution Class Reference

Cumulative normal distribution function. More...

#include <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
 

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 68 of file normaldistribution.hpp.

Constructor & Destructor Documentation

◆ CumulativeNormalDistribution()

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

Definition at line 287 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 296 of file normaldistribution.hpp.

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Member Data Documentation

◆ average_

Real average_
private

Definition at line 76 of file normaldistribution.hpp.

◆ sigma_

Real sigma_
private

Definition at line 76 of file normaldistribution.hpp.

◆ gaussian_

NormalDistribution gaussian_
private

Definition at line 77 of file normaldistribution.hpp.

◆ errorFunction_

ErrorFunction errorFunction_
private

Definition at line 78 of file normaldistribution.hpp.