ErrorFunction Class Reference

Error function More...

#include <errorfunction.hpp>

Collaboration diagram for ErrorFunction:

Public Member Functions
	ErrorFunction ()=default
Real	operator() (Real x) const

Static Private Attributes
static const Real	tiny = QL_EPSILON
static const Real	one = 1.00000000000000000000e+00
static const Real	erx = 8.45062911510467529297e-01
static const Real	efx = 1.28379167095512586316e-01
static const Real	efx8 = 1.02703333676410069053e+00
static const Real	pp0 = 1.28379167095512558561e-01
static const Real	pp1 = -3.25042107247001499370e-01
static const Real	pp2 = -2.84817495755985104766e-02
static const Real	pp3 = -5.77027029648944159157e-03
static const Real	pp4 = -2.37630166566501626084e-05
static const Real	qq1 = 3.97917223959155352819e-01
static const Real	qq2 = 6.50222499887672944485e-02
static const Real	qq3 = 5.08130628187576562776e-03
static const Real	qq4 = 1.32494738004321644526e-04
static const Real	qq5 = -3.96022827877536812320e-06
static const Real	pa0 = -2.36211856075265944077e-03
static const Real	pa1 = 4.14856118683748331666e-01
static const Real	pa2 = -3.72207876035701323847e-01
static const Real	pa3 = 3.18346619901161753674e-01
static const Real	pa4 = -1.10894694282396677476e-01
static const Real	pa5 = 3.54783043256182359371e-02
static const Real	pa6 = -2.16637559486879084300e-03
static const Real	qa1 = 1.06420880400844228286e-01
static const Real	qa2 = 5.40397917702171048937e-01
static const Real	qa3 = 7.18286544141962662868e-02
static const Real	qa4 = 1.26171219808761642112e-01
static const Real	qa5 = 1.36370839120290507362e-02
static const Real	qa6 = 1.19844998467991074170e-02
static const Real	ra0 = -9.86494403484714822705e-03
static const Real	ra1 = -6.93858572707181764372e-01
static const Real	ra2 = -1.05586262253232909814e+01
static const Real	ra3 = -6.23753324503260060396e+01
static const Real	ra4 = -1.62396669462573470355e+02
static const Real	ra5 = -1.84605092906711035994e+02
static const Real	ra6 = -8.12874355063065934246e+01
static const Real	ra7 = -9.81432934416914548592e+00
static const Real	sa1 = 1.96512716674392571292e+01
static const Real	sa2 = 1.37657754143519042600e+02
static const Real	sa3 = 4.34565877475229228821e+02
static const Real	sa4 = 6.45387271733267880336e+02
static const Real	sa5 = 4.29008140027567833386e+02
static const Real	sa6 = 1.08635005541779435134e+02
static const Real	sa7 = 6.57024977031928170135e+00
static const Real	sa8 = -6.04244152148580987438e-02
static const Real	rb0 = -9.86494292470009928597e-03
static const Real	rb1 = -7.99283237680523006574e-01
static const Real	rb2 = -1.77579549177547519889e+01
static const Real	rb3 = -1.60636384855821916062e+02
static const Real	rb4 = -6.37566443368389627722e+02
static const Real	rb5 = -1.02509513161107724954e+03
static const Real	rb6 = -4.83519191608651397019e+02
static const Real	sb1 = 3.03380607434824582924e+01
static const Real	sb2 = 3.25792512996573918826e+02
static const Real	sb3 = 1.53672958608443695994e+03
static const Real	sb4 = 3.19985821950859553908e+03
static const Real	sb5 = 2.55305040643316442583e+03
static const Real	sb6 = 4.74528541206955367215e+02
static const Real	sb7 = -2.24409524465858183362e+01

Detailed Description

Error function

formula here ... Used to calculate the cumulative normal distribution function

Definition at line 36 of file errorfunction.hpp.

Constructor & Destructor Documentation

ErrorFunction()

ErrorFunction ( )

default

Member Function Documentation

operator()()

Real operator()

(

Real

x

)

const

Definition at line 196 of file errorfunction.cpp.

Member Data Documentation

tiny

const Real tiny = QL_EPSILON

staticprivate

Definition at line 42 of file errorfunction.hpp.

one

const Real one = 1.00000000000000000000e+00

staticprivate

Definition at line 42 of file errorfunction.hpp.

erx

const Real erx = 8.45062911510467529297e-01

staticprivate

Definition at line 42 of file errorfunction.hpp.

efx

const Real efx = 1.28379167095512586316e-01

staticprivate

Definition at line 42 of file errorfunction.hpp.

efx8

const Real efx8 = 1.02703333676410069053e+00

staticprivate

Definition at line 42 of file errorfunction.hpp.

pp0

const Real pp0 = 1.28379167095512558561e-01

staticprivate

Definition at line 43 of file errorfunction.hpp.

pp1

const Real pp1 = -3.25042107247001499370e-01

staticprivate

Definition at line 43 of file errorfunction.hpp.

pp2

const Real pp2 = -2.84817495755985104766e-02

staticprivate

Definition at line 43 of file errorfunction.hpp.

pp3

const Real pp3 = -5.77027029648944159157e-03

staticprivate

Definition at line 43 of file errorfunction.hpp.

pp4

const Real pp4 = -2.37630166566501626084e-05

staticprivate

Definition at line 43 of file errorfunction.hpp.

qq1

const Real qq1 = 3.97917223959155352819e-01

staticprivate

Definition at line 44 of file errorfunction.hpp.

qq2

const Real qq2 = 6.50222499887672944485e-02

staticprivate

Definition at line 44 of file errorfunction.hpp.

qq3

const Real qq3 = 5.08130628187576562776e-03

staticprivate

Definition at line 44 of file errorfunction.hpp.

qq4

const Real qq4 = 1.32494738004321644526e-04

staticprivate

Definition at line 44 of file errorfunction.hpp.

qq5

const Real qq5 = -3.96022827877536812320e-06

staticprivate

Definition at line 44 of file errorfunction.hpp.

pa0

const Real pa0 = -2.36211856075265944077e-03

staticprivate

Definition at line 45 of file errorfunction.hpp.

pa1

const Real pa1 = 4.14856118683748331666e-01

staticprivate

Definition at line 45 of file errorfunction.hpp.

pa2

const Real pa2 = -3.72207876035701323847e-01

staticprivate

Definition at line 45 of file errorfunction.hpp.

pa3

const Real pa3 = 3.18346619901161753674e-01

staticprivate

Definition at line 45 of file errorfunction.hpp.

pa4

const Real pa4 = -1.10894694282396677476e-01

staticprivate

Definition at line 45 of file errorfunction.hpp.

pa5

const Real pa5 = 3.54783043256182359371e-02

staticprivate

Definition at line 45 of file errorfunction.hpp.

pa6

const Real pa6 = -2.16637559486879084300e-03

staticprivate

Definition at line 45 of file errorfunction.hpp.

qa1

const Real qa1 = 1.06420880400844228286e-01

staticprivate

Definition at line 46 of file errorfunction.hpp.

qa2

const Real qa2 = 5.40397917702171048937e-01

staticprivate

Definition at line 46 of file errorfunction.hpp.

qa3

const Real qa3 = 7.18286544141962662868e-02

staticprivate

Definition at line 46 of file errorfunction.hpp.

qa4

const Real qa4 = 1.26171219808761642112e-01

staticprivate

Definition at line 46 of file errorfunction.hpp.

qa5

const Real qa5 = 1.36370839120290507362e-02

staticprivate

Definition at line 46 of file errorfunction.hpp.

qa6

const Real qa6 = 1.19844998467991074170e-02

staticprivate

Definition at line 46 of file errorfunction.hpp.

ra0

const Real ra0 = -9.86494403484714822705e-03

staticprivate

Definition at line 47 of file errorfunction.hpp.

ra1

const Real ra1 = -6.93858572707181764372e-01

staticprivate

Definition at line 47 of file errorfunction.hpp.

ra2

const Real ra2 = -1.05586262253232909814e+01

staticprivate

Definition at line 47 of file errorfunction.hpp.

ra3

const Real ra3 = -6.23753324503260060396e+01

staticprivate

Definition at line 47 of file errorfunction.hpp.

ra4

const Real ra4 = -1.62396669462573470355e+02

staticprivate

Definition at line 47 of file errorfunction.hpp.

ra5

const Real ra5 = -1.84605092906711035994e+02

staticprivate

Definition at line 47 of file errorfunction.hpp.

ra6

const Real ra6 = -8.12874355063065934246e+01

staticprivate

Definition at line 47 of file errorfunction.hpp.

ra7

const Real ra7 = -9.81432934416914548592e+00

staticprivate

Definition at line 47 of file errorfunction.hpp.

sa1

const Real sa1 = 1.96512716674392571292e+01

staticprivate

Definition at line 48 of file errorfunction.hpp.

sa2

const Real sa2 = 1.37657754143519042600e+02

staticprivate

Definition at line 48 of file errorfunction.hpp.

sa3

const Real sa3 = 4.34565877475229228821e+02

staticprivate

Definition at line 48 of file errorfunction.hpp.

sa4

const Real sa4 = 6.45387271733267880336e+02

staticprivate

Definition at line 48 of file errorfunction.hpp.

sa5

const Real sa5 = 4.29008140027567833386e+02

staticprivate

Definition at line 48 of file errorfunction.hpp.

sa6

const Real sa6 = 1.08635005541779435134e+02

staticprivate

Definition at line 48 of file errorfunction.hpp.

sa7

const Real sa7 = 6.57024977031928170135e+00

staticprivate

Definition at line 48 of file errorfunction.hpp.

sa8

const Real sa8 = -6.04244152148580987438e-02

staticprivate

Definition at line 48 of file errorfunction.hpp.

rb0

const Real rb0 = -9.86494292470009928597e-03

staticprivate

Definition at line 49 of file errorfunction.hpp.

rb1

const Real rb1 = -7.99283237680523006574e-01

staticprivate

Definition at line 49 of file errorfunction.hpp.

rb2

const Real rb2 = -1.77579549177547519889e+01

staticprivate

Definition at line 49 of file errorfunction.hpp.

rb3

const Real rb3 = -1.60636384855821916062e+02

staticprivate

Definition at line 49 of file errorfunction.hpp.

rb4

const Real rb4 = -6.37566443368389627722e+02

staticprivate

Definition at line 49 of file errorfunction.hpp.

rb5

const Real rb5 = -1.02509513161107724954e+03

staticprivate

Definition at line 49 of file errorfunction.hpp.

rb6

const Real rb6 = -4.83519191608651397019e+02

staticprivate

Definition at line 49 of file errorfunction.hpp.

sb1

const Real sb1 = 3.03380607434824582924e+01

staticprivate

Definition at line 50 of file errorfunction.hpp.

sb2

const Real sb2 = 3.25792512996573918826e+02

staticprivate

Definition at line 50 of file errorfunction.hpp.

sb3

const Real sb3 = 1.53672958608443695994e+03

staticprivate

Definition at line 50 of file errorfunction.hpp.

sb4

const Real sb4 = 3.19985821950859553908e+03

staticprivate

Definition at line 50 of file errorfunction.hpp.

sb5

const Real sb5 = 2.55305040643316442583e+03

staticprivate

Definition at line 50 of file errorfunction.hpp.

sb6

const Real sb6 = 4.74528541206955367215e+02

staticprivate

Definition at line 50 of file errorfunction.hpp.

sb7

const Real sb7 = -2.24409524465858183362e+01

staticprivate

Definition at line 50 of file errorfunction.hpp.