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QuantLib_CumulativeNormalDistribution
Langue: en
Version: 378849 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
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
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