QuantLib
: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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ql
math
errorfunction.hpp
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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
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/*
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Copyright (C) 2003 Ferdinando Ametrano
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This file is part of QuantLib, a free-software/open-source library
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for financial quantitative analysts and developers - http://quantlib.org/
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QuantLib is free software: you can redistribute it and/or modify it
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under the terms of the QuantLib license. You should have received a
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copy of the license along with this program; if not, please email
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<quantlib-dev@lists.sf.net>. The license is also available online at
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<http://quantlib.org/license.shtml>.
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This program is distributed in the hope that it will be useful, but WITHOUT
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ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
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FOR A PARTICULAR PURPOSE. See the license for more details.
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*/
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/*! \file errorfunction.hpp
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\brief Error function
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*/
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#ifndef quantlib_error_function_h
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#define quantlib_error_function_h
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#include <
ql/types.hpp
>
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#include <functional>
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namespace
QuantLib
{
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//! %Error function
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/*! formula here ...
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Used to calculate the cumulative normal distribution function
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*/
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class
ErrorFunction
{
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public
:
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ErrorFunction
() =
default
;
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// function
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Real
operator()
(
Real
x)
const
;
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private
:
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static
const
Real
tiny
,
one
,
erx
,
efx
,
efx8
;
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static
const
Real
pp0
,
pp1
,
pp2
,
pp3
,
pp4
;
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static
const
Real
qq1
,
qq2
,
qq3
,
qq4
,
qq5
;
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static
const
Real
pa0
,
pa1
,
pa2
,
pa3
,
pa4
,
pa5
,
pa6
;
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static
const
Real
qa1
,
qa2
,
qa3
,
qa4
,
qa5
,
qa6
;
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static
const
Real
ra0
,
ra1
,
ra2
,
ra3
,
ra4
,
ra5
,
ra6
,
ra7
;
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static
const
Real
sa1
,
sa2
,
sa3
,
sa4
,
sa5
,
sa6
,
sa7
,
sa8
;
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static
const
Real
rb0
,
rb1
,
rb2
,
rb3
,
rb4
,
rb5
,
rb6
;
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static
const
Real
sb1
,
sb2
,
sb3
,
sb4
,
sb5
,
sb6
,
sb7
;
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};
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}
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#endif
QuantLib::ErrorFunction
Error function
Definition:
errorfunction.hpp:36
QuantLib::ErrorFunction::rb0
static const Real rb0
Definition:
errorfunction.hpp:49
QuantLib::ErrorFunction::ra5
static const Real ra5
Definition:
errorfunction.hpp:47
QuantLib::ErrorFunction::sb6
static const Real sb6
Definition:
errorfunction.hpp:50
QuantLib::ErrorFunction::qq3
static const Real qq3
Definition:
errorfunction.hpp:44
QuantLib::ErrorFunction::rb4
static const Real rb4
Definition:
errorfunction.hpp:49
QuantLib::ErrorFunction::ra7
static const Real ra7
Definition:
errorfunction.hpp:47
QuantLib::ErrorFunction::qq2
static const Real qq2
Definition:
errorfunction.hpp:44
QuantLib::ErrorFunction::pp0
static const Real pp0
Definition:
errorfunction.hpp:43
QuantLib::ErrorFunction::sa2
static const Real sa2
Definition:
errorfunction.hpp:48
QuantLib::ErrorFunction::sa1
static const Real sa1
Definition:
errorfunction.hpp:48
QuantLib::ErrorFunction::qq4
static const Real qq4
Definition:
errorfunction.hpp:44
QuantLib::ErrorFunction::qa2
static const Real qa2
Definition:
errorfunction.hpp:46
QuantLib::ErrorFunction::qa4
static const Real qa4
Definition:
errorfunction.hpp:46
QuantLib::ErrorFunction::operator()
Real operator()(Real x) const
Definition:
errorfunction.cpp:196
QuantLib::ErrorFunction::sa8
static const Real sa8
Definition:
errorfunction.hpp:48
QuantLib::ErrorFunction::rb2
static const Real rb2
Definition:
errorfunction.hpp:49
QuantLib::ErrorFunction::sa3
static const Real sa3
Definition:
errorfunction.hpp:48
QuantLib::ErrorFunction::pp3
static const Real pp3
Definition:
errorfunction.hpp:43
QuantLib::ErrorFunction::one
static const Real one
Definition:
errorfunction.hpp:42
QuantLib::ErrorFunction::pa6
static const Real pa6
Definition:
errorfunction.hpp:45
QuantLib::ErrorFunction::ra4
static const Real ra4
Definition:
errorfunction.hpp:47
QuantLib::ErrorFunction::rb6
static const Real rb6
Definition:
errorfunction.hpp:49
QuantLib::ErrorFunction::rb5
static const Real rb5
Definition:
errorfunction.hpp:49
QuantLib::ErrorFunction::pa2
static const Real pa2
Definition:
errorfunction.hpp:45
QuantLib::ErrorFunction::qa5
static const Real qa5
Definition:
errorfunction.hpp:46
QuantLib::ErrorFunction::rb1
static const Real rb1
Definition:
errorfunction.hpp:49
QuantLib::ErrorFunction::qq1
static const Real qq1
Definition:
errorfunction.hpp:44
QuantLib::ErrorFunction::sa7
static const Real sa7
Definition:
errorfunction.hpp:48
QuantLib::ErrorFunction::sb5
static const Real sb5
Definition:
errorfunction.hpp:50
QuantLib::ErrorFunction::efx
static const Real efx
Definition:
errorfunction.hpp:42
QuantLib::ErrorFunction::pa1
static const Real pa1
Definition:
errorfunction.hpp:45
QuantLib::ErrorFunction::ra3
static const Real ra3
Definition:
errorfunction.hpp:47
QuantLib::ErrorFunction::pa5
static const Real pa5
Definition:
errorfunction.hpp:45
QuantLib::ErrorFunction::sa4
static const Real sa4
Definition:
errorfunction.hpp:48
QuantLib::ErrorFunction::ErrorFunction
ErrorFunction()=default
QuantLib::ErrorFunction::qa6
static const Real qa6
Definition:
errorfunction.hpp:46
QuantLib::ErrorFunction::pp4
static const Real pp4
Definition:
errorfunction.hpp:43
QuantLib::ErrorFunction::ra6
static const Real ra6
Definition:
errorfunction.hpp:47
QuantLib::ErrorFunction::sa5
static const Real sa5
Definition:
errorfunction.hpp:48
QuantLib::ErrorFunction::sb1
static const Real sb1
Definition:
errorfunction.hpp:50
QuantLib::ErrorFunction::ra2
static const Real ra2
Definition:
errorfunction.hpp:47
QuantLib::ErrorFunction::sb4
static const Real sb4
Definition:
errorfunction.hpp:50
QuantLib::ErrorFunction::sa6
static const Real sa6
Definition:
errorfunction.hpp:48
QuantLib::ErrorFunction::sb2
static const Real sb2
Definition:
errorfunction.hpp:50
QuantLib::ErrorFunction::sb7
static const Real sb7
Definition:
errorfunction.hpp:50
QuantLib::ErrorFunction::ra0
static const Real ra0
Definition:
errorfunction.hpp:47
QuantLib::ErrorFunction::pa3
static const Real pa3
Definition:
errorfunction.hpp:45
QuantLib::ErrorFunction::qq5
static const Real qq5
Definition:
errorfunction.hpp:44
QuantLib::ErrorFunction::pa4
static const Real pa4
Definition:
errorfunction.hpp:45
QuantLib::ErrorFunction::tiny
static const Real tiny
Definition:
errorfunction.hpp:42
QuantLib::ErrorFunction::erx
static const Real erx
Definition:
errorfunction.hpp:42
QuantLib::ErrorFunction::qa3
static const Real qa3
Definition:
errorfunction.hpp:46
QuantLib::ErrorFunction::pp1
static const Real pp1
Definition:
errorfunction.hpp:43
QuantLib::ErrorFunction::efx8
static const Real efx8
Definition:
errorfunction.hpp:42
QuantLib::ErrorFunction::pp2
static const Real pp2
Definition:
errorfunction.hpp:43
QuantLib::ErrorFunction::qa1
static const Real qa1
Definition:
errorfunction.hpp:46
QuantLib::ErrorFunction::sb3
static const Real sb3
Definition:
errorfunction.hpp:50
QuantLib::ErrorFunction::pa0
static const Real pa0
Definition:
errorfunction.hpp:45
QuantLib::ErrorFunction::rb3
static const Real rb3
Definition:
errorfunction.hpp:49
QuantLib::ErrorFunction::ra1
static const Real ra1
Definition:
errorfunction.hpp:47
QuantLib::Real
QL_REAL Real
real number
Definition:
types.hpp:50
QuantLib
Definition:
any.hpp:35
types.hpp
Custom types.
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