QuantLib_CumulativeNormalDistribution (3) - Linux Manuals

QuantLib_CumulativeNormalDistribution: Cumulative normal distribution function.

NAME

QuantLib::CumulativeNormalDistribution - Cumulative normal distribution function.

SYNOPSIS

#include <ql/math/distributions/normaldistribution.hpp>

Inherits std::unary_function<Real,Real>.

Public Member Functions

CumulativeNormalDistribution (Real average=0.0, Real sigma=1.0)

Real operator() (Real x) const

Real derivative (Real x) const

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)

Author

Generated automatically by Doxygen for QuantLib from the source code.