QuantLib: a free/open-source library for quantitative finance
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errorfunction.hpp
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1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2003 Ferdinando Ametrano
5
6 This file is part of QuantLib, a free-software/open-source library
7 for financial quantitative analysts and developers - http://quantlib.org/
8
9 QuantLib is free software: you can redistribute it and/or modify it
10 under the terms of the QuantLib license. You should have received a
11 copy of the license along with this program; if not, please email
12 <quantlib-dev@lists.sf.net>. The license is also available online at
13 <http://quantlib.org/license.shtml>.
14
15 This program is distributed in the hope that it will be useful, but WITHOUT
16 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
17 FOR A PARTICULAR PURPOSE. See the license for more details.
18*/
19
20/*! \file errorfunction.hpp
21 \brief Error function
22*/
23
24#ifndef quantlib_error_function_h
25#define quantlib_error_function_h
26
27#include <ql/types.hpp>
28#include <functional>
29
30namespace QuantLib {
31
32 //! %Error function
33 /*! formula here ...
34 Used to calculate the cumulative normal distribution function
35 */
37 public:
38 ErrorFunction() = default;
39 // function
40 Real operator()(Real x) const;
41 private:
42 static const Real tiny, one, erx, efx, efx8;
43 static const Real pp0, pp1,pp2,pp3,pp4;
44 static const Real qq1,qq2,qq3,qq4,qq5;
45 static const Real pa0,pa1,pa2,pa3,pa4,pa5,pa6;
46 static const Real qa1,qa2,qa3,qa4,qa5,qa6;
47 static const Real ra0,ra1,ra2,ra3,ra4,ra5,ra6,ra7;
48 static const Real sa1,sa2,sa3,sa4,sa5,sa6,sa7,sa8;
49 static const Real rb0,rb1,rb2,rb3,rb4,rb5,rb6;
50 static const Real sb1,sb2,sb3,sb4,sb5,sb6,sb7;
51 };
52
53}
54
55
56#endif
static const Real rb0
static const Real ra5
static const Real sb6
static const Real qq3
static const Real rb4
static const Real ra7
static const Real qq2
static const Real pp0
static const Real sa2
static const Real sa1
static const Real qq4
static const Real qa2
static const Real qa4
Real operator()(Real x) const
static const Real sa8
static const Real rb2
static const Real sa3
static const Real pp3
static const Real one
static const Real pa6
static const Real ra4
static const Real rb6
static const Real rb5
static const Real pa2
static const Real qa5
static const Real rb1
static const Real qq1
static const Real sa7
static const Real sb5
static const Real efx
static const Real pa1
static const Real ra3
static const Real pa5
static const Real sa4
static const Real qa6
static const Real pp4
static const Real ra6
static const Real sa5
static const Real sb1
static const Real ra2
static const Real sb4
static const Real sa6
static const Real sb2
static const Real sb7
static const Real ra0
static const Real pa3
static const Real qq5
static const Real pa4
static const Real tiny
static const Real erx
static const Real qa3
static const Real pp1
static const Real efx8
static const Real pp2
static const Real qa1
static const Real sb3
static const Real pa0
static const Real rb3
static const Real ra1
QL_REAL Real
real number
Definition: types.hpp:50
Definition: any.hpp:35
Custom types.