Logo Search packages:      
Sourcecode: quantlib version File versions  Download package

QuantLib::CumulativeNormalDistribution Class Reference

#include <normaldistribution.hpp>

List of all members.


Detailed Description

Cumulative normal distribution function.

Given x it provides an approximation to the integral of the gaussian normal distribution: formula here ...

For this implementation see M. Abramowitz and I. Stegun, Handbook of Mathematical Functions, Dover Publications, New York (1972)

Definition at line 67 of file normaldistribution.hpp.


Public Member Functions

 CumulativeNormalDistribution (Real average=0.0, Real sigma=1.0)
Real derivative (Real x) const
Real operator() (Real x) const

Private Attributes

Real average_
ErrorFunction errorFunction_
NormalDistribution gaussian_
Real sigma_

The documentation for this class was generated from the following files:

Generated by  Doxygen 1.6.0   Back to index