QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Cumulative normal distribution function. More...
#include <normaldistribution.hpp>
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_ |
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.
CumulativeNormalDistribution | ( | Real | average = 0.0 , |
Real | sigma = 1.0 |
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Definition at line 287 of file normaldistribution.hpp.
Definition at line 30 of file normaldistribution.cpp.
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private |
Definition at line 76 of file normaldistribution.hpp.
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private |
Definition at line 76 of file normaldistribution.hpp.
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private |
Definition at line 77 of file normaldistribution.hpp.
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private |
Definition at line 78 of file normaldistribution.hpp.