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
GaussianKernel Class Reference

Gaussian kernel function. More...

#include <kernelfunctions.hpp>

+ Inheritance diagram for GaussianKernel:
+ Collaboration diagram for GaussianKernel:

Public Member Functions

 GaussianKernel (Real average, Real sigma)
 
Real operator() (Real x) const override
 
Real derivative (Real x) const
 
Real primitive (Real x) const
 
- Public Member Functions inherited from KernelFunction
virtual ~KernelFunction ()=default
 
virtual Real operator() (Real x) const =0
 

Private Attributes

NormalDistribution nd_
 
CumulativeNormalDistribution cnd_
 
Real normFact_
 

Detailed Description

Gaussian kernel function.

Definition at line 44 of file kernelfunctions.hpp.

Constructor & Destructor Documentation

◆ GaussianKernel()

GaussianKernel ( Real  average,
Real  sigma 
)

Definition at line 46 of file kernelfunctions.hpp.

Member Function Documentation

◆ operator()()

Real operator() ( Real  x) const
overridevirtual

Implements KernelFunction.

Definition at line 50 of file kernelfunctions.hpp.

◆ derivative()

Real derivative ( Real  x) const

Definition at line 52 of file kernelfunctions.hpp.

+ Here is the call graph for this function:

◆ primitive()

Real primitive ( Real  x) const

Definition at line 56 of file kernelfunctions.hpp.

Member Data Documentation

◆ nd_

NormalDistribution nd_
private

Definition at line 61 of file kernelfunctions.hpp.

◆ cnd_

Definition at line 62 of file kernelfunctions.hpp.

◆ normFact_

Real normFact_
private

Definition at line 63 of file kernelfunctions.hpp.