derivative (3) - Linux Manuals

derivative: Normal distribution function.

NAME

QuantLib::NormalDistribution - Normal distribution function.

SYNOPSIS

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

Inherits std::unary_function<Real,Real>.

Public Member Functions

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

Real operator() (Real x) const

Real derivative (Real x) const

Detailed Description

Normal distribution function.

Given x, it returns its probability in a Gaussian normal distribution. It provides the first derivative too.

Tests

the correctness of the returned value is tested by checking it against numerical calculations. Cross-checks are also performed against the CumulativeNormalDistribution and InverseCumulativeNormal classes.

Author

Generated automatically by Doxygen for QuantLib from the source code.