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Public Member Functions | Private Attributes

QuantLib::CumulativeNormalDistribution Class Reference

Cumulative normal distribution function. More...

#include <normaldistribution.hpp>

Inheritance diagram for QuantLib::CumulativeNormalDistribution:
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Collaboration diagram for QuantLib::CumulativeNormalDistribution:
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List of all members.

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_

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.

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

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