QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Gaussian kernel function. More...
#include <kernelfunctions.hpp>
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_ |
Gaussian kernel function.
Definition at line 44 of file kernelfunctions.hpp.
GaussianKernel | ( | Real | average, |
Real | sigma | ||
) |
Definition at line 46 of file kernelfunctions.hpp.
Implements KernelFunction.
Definition at line 50 of file kernelfunctions.hpp.
Definition at line 56 of file kernelfunctions.hpp.
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private |
Definition at line 61 of file kernelfunctions.hpp.
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private |
Definition at line 62 of file kernelfunctions.hpp.
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private |
Definition at line 63 of file kernelfunctions.hpp.